Resumen de Low-risk investing without industry bets

Clifford S. Asness, Andrea Frazzini, Lasse H. Pedersen

• The strategy of buying safe low-beta stocks while shorting (or underweighting) riskier high-beta stocks (�betting against beta�) has been shown to deliver significant risk-adjusted returns. Some have suggested, however, that such �low-risk investing� delivers high returns primarily because of industry bets that favor a slowly changing set of stodgy, stable industries. The authors refute this notion by showing that a strategy of betting against beta has delivered positive returns both as an industry-neutral bet within each industry and as a pure bet across industries.