This paper featured in the FT this week:

http://www.quantitativeinvestment.com/documents/LowVolatilit...

"The fact that low risk stocks have higher expected returns is a remarkable anomaly in
the field of finance. It is remarkable because it is persistent – existing now and as far back in
time as we can see. It is also remarkable because it is comprehensive. We shall show here that
it extends to all equity markets in the world3. And finally, it is remarkable because it contradicts
the very core of finance: that risk bearing can be expected to produce a reward."

In other words, low beta beats high beta, which has been known for some time (James Montier comes out with this quite regularly). The paper is, however, still an interesting read becaue: he offers some plausible behavioural explanation for this; it has an amusing slating of academic finance, with an observation on the protection of academic reputation in the face of reality that rings particularly true! Worth a read.

Regards,

Courant