Back Doors in Betting Against Beta?
January 22, 2019 - Size Effect, Volatility Effects
Do unconventional portfolio construction techniques obscure how, and how well, betting against beta (BAB) works? In their November 2018 paper entitled “Betting Against Betting Against Beta”, Robert Novy-Marx and Mihail Velikov revisit the BAB factor, focusing on interpretation of three unconventional BAB construction techniques: Rank weighting of stocks – BAB employs rank weighting rather than equal or value weighting,… Keep Reading