VI · Cross-sectional equity & factors Researched

Low-volatility equity factor

The low-volatility anomaly tested on a long-only equity cross-section.

In plain terms

Lower-volatility stocks have historically delivered better risk-adjusted returns than their riskier peers — the low-volatility anomaly. This tests it.

How it works

The cross-section is ranked by realised volatility and tilted toward the calmer names, long-only and risk-aware.

What it’s tested against

Out-of-sample on a survivorship-correct panel with stressed costs and factor controls.

Data

CRSP / Compustat point-in-time panel.

Researched — the low-vol anomaly examined.

All strategy families

Research record only. Strategy logic stays private; what is shown can be reconstructed from a versioned notebook and a dated data snapshot. Not investment advice.