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Equity Index Data
The purpose of these indices is to help researchers and investors understand low volatility investing better. These are common hedge fund factors, but there are not any ETFs or popular indices on them. These indices represent the returns to a portfolio with equal weightings invested each 6 months into 100 positions. The Minimum Variance Portfolios were created via subsets of the indices to which they compared (ie, FTSE, MSCI-Euro, SP500,Nikkei). The US beta portfolio were constructed using the stocks above the median market cap at any point in time. Delisted companies were reinvested into the portfolio, once their delisting return was accounted for (if unavailable, I assumed a -40% return for Nasdaq, -20% for listed companies). The stocks are then held for 6 months, reflecting reasonable rebalancing statistics.
Videos are a set of indepth videos complementing my book Finding Alpha, which explains why beta and low volatility portfolios have dominant Sharpe ratios
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