International Low-Risk Investing
全面考察了最小波动率、低波动率和低贝塔策略在国际市场中的表现、投资行为及联动性，发现这些策略在发达和新兴市场均产生显著超额收益，但金融危机期间未显著跑赢，且三种策略效果相当。
This article comprehensively examines the performance, investment behavior, and co-movement of minimum-volatility, low-volatility, and low-beta strategies in international markets. First, the authors identify the significant overweighting of non-cyclical stocks from the consumer staples and utilities sectors, relative to the market, as one of the main, industry-specific return drivers of all low-risk strategies. Second, minimum-volatility, low-volatility, and low-beta strategies produce similarly substantial and statistically significant CAPM and three-factor model alphas in the segments of developed markets and emerging markets over the complete sample period, before and after the recent financial crisis. However, during the crisis, there was no significant outperformance, though low-risk strategies could keep risk down. All low-risk strategies share general commonalities with small-cap and value strategies, except in the European market, where they resemble growth strategies. Third, minimum-volatility, low-volatility, and low-beta strategies generally exhibit large and significant co-movements across and within markets. The authors do not find compelling evidence that one strategy generally dominates another. They conclude that minimum-volatility, low-volatility, and low-beta strategies are equally beneficial for participating in low-risk investing around the world. <bold>TOPICS:</bold> <ext-link>Global</ext-link>, <ext-link>exchanges/markets/clearinghouses</ext-link>, <ext-link>portfolio theory</ext-link>