tag:blogger.com,1999:blog-7366878066073177705.post1237332258986786076..comments2024-02-09T18:16:45.614+00:00Comments on The Psy-Fi Blog: Low Risk, High Rewards: The Low Volatility Anomalytimarrhttp://www.blogger.com/profile/06254802085744425067noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-7366878066073177705.post-17361291153343411162014-04-17T13:14:51.495+01:002014-04-17T13:14:51.495+01:00Higher volatility means you're more likely to ...Higher volatility means you're more likely to hit zero boundary, which in a stock market is absobing. Well, since we don't hit 0 that often, I'd really say "in a leveraged environment, high vol means somoene is more likely to hit their margin call, which is loss-realizing and creates a positive downward feedback". Simples.<br />So, while statistically higher vol gives you higher top percentile, but lowers your expected return.<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7366878066073177705.post-79720381635483070812014-03-27T11:29:51.220+00:002014-03-27T11:29:51.220+00:00Nice article, very clear. I'm reminded of Buff...Nice article, very clear. I'm reminded of Buffett's quote about the Washington Post in 1973: <br /><br />"The Washington Post Company in 1973 was selling for $80 million in the market. At the time, that day, you could have sold the assets to any one of ten buyers for not less than $400 million … Now, if the stock had declined even further to a price that made the valuation $40 million instead of $80 million, its beta would have been greater. And to people who think beta measures risk, the cheaper price would have made it look riskier."<br /><br />Truly, Alice in Wonderland-style thinking!Anonymousnoreply@blogger.com