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> the data tends to show that less volatile stocks actually have higher returns

Which data show this? Less volatile stocks can, in certain periods of time, be levered to return more than more volatile ones. But that is dependent on borrowing rates being favourable and very specific, and to my understanding rare, equity market dynamics.



The book The Missing Risk Premium covers a lot of the evidence. The author give a synopsis here: https://falkenblog.blogspot.com/2013/07/missing-risk-premium...

Low volatility investing is based around the observation that low volatility stocks have higher average returns than high volatility stocks. This article is a good summary: https://www.researchaffiliates.com/en_us/publications/articl...




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