Michael Hunstad - Institutional Trends in Factor Investing (S3E9)
Flirting with Models
The Asymmetry of Volatility in the Markets
When market draws down in a volatility event, the market's going down but performance of individual stocks tends to be fairly wide. As a result, because dispersion is low, those same securities that protected you on the down side tend to participate in most of the upside. So if you have this proper combination of quality and lvol ityGoing into these a symmetric volatility events, you can actually create a strategy with an a symmetric bata profile.
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