Comment on “A note on the returns from minimum variance investing” |
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Institution: | 1. Research & Technology Consulting, Bethesda, USA;2. University of Maryland, Robert H. Smith School of Business, College Park, USA;1. Department of Finance, Corvinus Business School, Corvinus University of Budapest and “Momentum” Game Theory Research Group, Centre for Economic and Regional Studies, Hungarian Academy of Sciences, Hungary;2. Department of Finance, Corvinus Business School, Corvinus University of Budapest and Pallas Athéné Domus Educationis Scholarship, Hungary |
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Abstract: | In Scherer (2011) the author, analyzing minimum variance investing, shows that “the minimum variance tends to hold low beta and low residual risk stocks.”The conclusion that low residual risk assets and assets with a low β (below one) create a positive portfolio weight in the minimum variance portfolio does not prove the paper's “conjecture that the minimum variance portfolio is likely to pick up low beta and low residual risk stocks.” |
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