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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | The Low Volatility Anomaly in the Swiss Market |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 36 |
| Date | 2015 |
| Abstract Text | This thesis provides evidence of the outperformance of low volatility (in returns) stocks in the Swiss market. Portfolios invested in low volatility stocks between 1997 and 2014 realize superior risk-adjusted returns compared to high volatility portfolios. This phenomenon is referred to as the low volatility anomaly. It appears that the volatility effect is largely independent from size, value and momentum factors. Restrictions on borrowing and benchmark-driven managers, who over allocate high risk stocks, strong operating performance and behavioral biases are among the most commonly named explanations for why the low risk effect is not fully exploited by investors. |
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