Financial Analyst Journal, Volume 70, Issue2, 2014

低风险异象：微观和宏观效应的分解

作者：Malcolm Baker(Harvard Business School)

Brendan Bradley(Acadian Asset Management LLC)

Ryan Taliaferro(Acadian Asset Management LLC)

摘要：低风险股票提供了相对低风险和高回报的组合。我们将低风险异象分解为微观和宏观两个部分。微观部分来自于选择低贝塔股票。宏观部分来自于选择具有低贝塔的国家或行业。这两个部分都会导致异象发生，这对于管理波动率投资组合的构建具有重要意义。

The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects

Malcolm Baker(Harvard Business School), Brendan Bradley(Acadian Asset Management LLC), Ryan Taliaferro(Acadian Asset Management LLC)

ABSTRACT

Low-risk stocks have offered a combination of relatively low risk and high returns. We decomposed the low-risk anomaly into micro and macro components. The micro component comes from the selection of low-beta stocks. The macro component comes from the selection of low-beta countries or industries. Both parts contribute to the anomaly, with important implications for the construction of managed-volatility portfolios.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v70.n2.2

翻译：秦秀婷