low_volatility
Ang-Hodrick-Xing-Zhang (2006) / Frazzini-Pedersen (2014, BAB) — Low-volatility anomaly: low-vol stocks outperform 4-8% risk-adj
Rolling Sharpe
—
90-day rolling window
Drawdown
—
peak-to-trough
Win Rate
—
0 fires · weight 0.00×
Current Status
State
Ensemble Weight—
Fires (90d)0
Last fired—
Methodology
Ang-Hodrick-Xing-Zhang (2006) / Frazzini-Pedersen (2014, BAB) — Low-volatility anomaly: low-vol stocks outperform 4-8% risk-adj
Supported Markets
Universal
State Transition History
No state changes recorded yet