Restoring Value to Minimum Variance

@article{Goldberg2013RestoringVT,
  title={Restoring Value to Minimum Variance},
  author={L. Goldberg and Ran Leshem and P. Geddes},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  year={2013}
}
A long-only investable minimum variance strategy outperformed the S&P 500 over the four decades from January 1973 to December 2012. Through the lens of a factor model, we show this outperformance can be largely attributed to implicit style bets. Specifically, minimum variance has thrived by tilting away from size and volatility and toward value. As funds have poured into minimum variance in the wake of the financial crisis, and plausibly as a consequence of this trend, the value tilt has… Expand

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