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0 pointssmabie5y ago0 comments

The low beta anomaly has persisted for since we have data. If you consider the S&P 500 the market, then yes, it's not difficult to beat it by investing in low beta stocks and leveraging up so your beta is 1. This is a classic and time-tested strategy that will probably always outperform, on a risk-adjusted basis.

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roenxi5y ago

You're arguing on HN that you have a long-term strategy that can reliably beat the market. Such a strategy would be worth billions of dollars. You probably don't have such a strategy.

Good luck with that though.

smabieOP5y ago

There are a number of persistent factors. They are well known in academia and to financial practitioners. There are structural reasons for their existence. We are talking about value, fama french size, etc. These are classic factors that everyone knows about.

https://www.aqr.com/Insights/Research/Journal-Article/Bettin...

https://en.wikipedia.org/wiki/Low-volatility_anomaly

I think your attitude of dismissing decades of academic research by Nobel prize winners is a little myopic.

Also I don't think you understand what "risk-adjusted" means.

roenxi5y ago

> Also I don't think you understand what "risk-adjusted" means.

You might be right; why don't you try explaining it for me? I suspect it is going to look a lot like a justification for why your strategy is fantastic even though it makes sub-par returns.

2 more replies

svara5y ago

That kind of sounds to good to be true... This [0] seems to suggest that the low-beta anomaly is essentially an artifact of how risk is measured. Toughts?

[0] https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2503174

steephills5y ago

Pics or it didn't happen! We should not fall below wallstreetbets standards on HN.

j / k navigate · click thread line to collapse

0 comments

roenxi5y ago

You're arguing on HN that you have a long-term strategy that can reliably beat the market. Such a strategy would be worth billions of dollars. You probably don't have such a strategy.

Good luck with that though.

smabieOP5y ago

https://www.aqr.com/Insights/Research/Journal-Article/Bettin...

https://en.wikipedia.org/wiki/Low-volatility_anomaly

I think your attitude of dismissing decades of academic research by Nobel prize winners is a little myopic.

Also I don't think you understand what "risk-adjusted" means.

roenxi5y ago

> Also I don't think you understand what "risk-adjusted" means.

You might be right; why don't you try explaining it for me? I suspect it is going to look a lot like a justification for why your strategy is fantastic even though it makes sub-par returns.

2 more replies

svara5y ago

That kind of sounds to good to be true... This [0] seems to suggest that the low-beta anomaly is essentially an artifact of how risk is measured. Toughts?

[0] https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2503174

steephills5y ago

Pics or it didn't happen! We should not fall below wallstreetbets standards on HN.

j / k navigate · click thread line to collapse