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International Low-Risk Investing

Walkshäusl, Christian



Abstract

This article comprehensively examines the performance, investment behavior, and co-movement of minimum-volatility, low-volatility, and low-beta strategies in international markets. First, the authors identify the significant overweighting of non-cyclical stocks from the consumer staples and utilities sectors, relative to the market, as one of the main, industry-specific return drivers of all ...

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