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In no event will AQR be responsible for any information or content within the linked sites or your use of the linked sites. The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.
This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. Past performance is not a guarantee of future results. Hypothetical performance results have many inherent limitations, some of which, but not all, are described herein.
The hypothetical performance shown was derived from the retroactive application of a model developed with the benefit of hindsight. Next, we provide some potential explanations why a betting against beta approach works in practice.
How does betting against beta work? For example, if security 1 as a beta of 0. Interestingly, however, the CAPM does not always hold in practice. As a consequence, securities with a low beta actually have higher excess returns than predicted by their beta. Conversely, high-beta stocks tend to have excess returns that are too low, compared to their high betas. How to exploit this mispricing?
This is clearly a case where the data does not fit the theory, but how can we exploit this mispricing? The low-beta stocks earn higher excess returns than predicted and the high-beta stocks earn lower excess returns than expected. So it is probably a good idea to buy the safe stocks and short-sell the risky stocks.
This strategy, however, is not without risk. First of all, there is still market risk if we are not careful. To see this, consider again security 1 and security 2. In that case, our portfolio beta will be 0. Hence, we have a negative market beta.
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What is smart beta? - MoneyWeek Investment TutorialsYou can help correct errors and omissions.
| The forex forum usa | If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Read article profile, as there may be some citations waiting for confirmation. First, some investors are leverage constraint. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal email available below. There are several hypotheses of what may explain the high excess returns of safe stocks and low excess returns of risky stocks. |
| Betting against beta summary of books | The approach is suggested by Andrea Frazzini and Lasse H. In that case, our portfolio beta will be 0. More services and features. Therefore, instead of using leverage to genereate high returns, they buy more volatile risky stocks. First, some investors are leverage constraint. As a consequence, securities with a low beta actually have higher excess returns than predicted by their beta. |
| Betting against beta summary of books | When requesting a correction, please mention this item's handle: RePEc:chf:rpseri:rp The approach is suggested by Andrea Frazzini and Lasse H. For example, if security 1 as a beta of 0. First of all, there is still market risk if we are not careful. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal email available below. |
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| Betting against beta summary of books | First of all, there is still market risk if we are not careful. The above topic is related to the following set of topics:. Hence, we have a negative market beta. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal email available below. See general information about how to correct material in RePEc. |
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