Morningstar's New Volatility Factor Makes the Most of the Low-Risk Anomaly

Morningstar has created a new volatility factor which exploits the low-risk anomaly. This new volatility factor is now in the Morningstar Risk Model, and we can see that it performs better than our old one.

Sarah Xiao , and Patrick Caldon Jan 28, 2022

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About the Authors

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Sarah Xiao

Senior Quantitative Analyst

Patrick Caldon

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Morningstar's New Volatility Factor Makes the Most of the Low-Risk Anomaly

More in Portfolios

When Low Risk Means High Risk

What I’ve Done Right With My Portfolio

Large-Growth Stocks Are Overvalued. Small-Value Stocks Are Undervalued. Here’s Why It Matters

About the Authors

Sarah Xiao

Morningstar's New Volatility Factor Makes the Most of the Low-Risk Anomaly

Patrick Caldon

Multiperiod Static-Dynamic Factor Attribution

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Morningstar's New Volatility Factor Makes the Most of the Low-Risk Anomaly

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