Abstract The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk
and return, but empirical studies find the actual relation to be flat, or even negative. This …

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

The performance of equity portfolios optimized to have the lowest possible variance has
attracted investor attention over the last several years. Minimum-variance strategies address …

We examine the empirical relation between risk and return in emerging equity markets and
find that this relation is flat, or even negative. This is inconsistent with theoretical models …

It is well documented that less risky assets tend to outperform their riskier counterparts
across asset classes. This paper provides a structured summary of the current state of …

Combining long-only-constrained factor subportfolios is generally not a mean–variance-
efficient way to capture expected factor returns. For example, a combination of four fully …

The authors found that over 1963–2010, the existence and trading efficacy of the low-
volatility stock anomaly were more limited than widely believed. For example, they found no …

The authors explored whether the well-publicized anomalous returns associated with low-
volatility stocks can be attributed to market mispricing or to compensation for higher …

Low-risk stocks exhibit higher returns than predicted by established asset pricing models,
but this anomaly seems to be explained by the new Fama-French five-factor model, which …

Using a global equity dataset that includes emerging markets, we confirm that highvolatility
stocks tend to deliver low average returns; this effect is robust to adjustments for country and …