Low–Risk Alpha without Low Beta
提出一种风险管理方法，通过将多因子低风险组合的贝塔调整到1.0并控制跟踪误差，来更有效地捕捉低波动率异象，在发达和新兴市场均跑赢市场和传统低风险策略。
We propose a risk-managed approach to capturing the low-volatility anomaly. Leveraging multifactor low-risk portfolios to a beta of 1.0 while controlling tracking error amplifies strategy returns and information ratios. Across developed and emerging markets, this levered low-risk strategy outperforms the market and traditional low-risk portfolios. Outperformance is driven by the strategy’s low-risk tilt rather than leverage effects. Our results suggest that investors who are able to overcome leverage constraints are able to harvest the low-volatility anomaly more efficiently.