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Pim van Vliet Profile picture
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Jul 7 • 3 tweets • 3 min read
NEW PAPER out today "Investing in #deflation, #inflation, and #stagflation regimes" Link to study: bit.ly/3ajWlLQ
The study was discussed in the @washingtonpost today wapo.st/3NRtNGW as well as @business bloom.bg/3uuyuj6
🚀 500+ downloads in 1 day! papers.ssrn.com/sol3/papers.cf…

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Pim van Vliet Profile picture
May 9
Lowvol investing is not a 'feel good' strategy. In a bull market you have underperformance, while in a bear market you have negative performance... Still, no pain no gain 💪🐢
Furthermore, value/income helps against bubbles deflating. Whereas momentum/sentiment helps against inflation. Therefore, conservative stocks are more resilient than lowvol stocks.
Although I completed a PhD in finance, I believe that successful investing is more a test of character than of intelligence.
Read 12 tweets
Pim van Vliet Profile picture
Sep 2, 2019
This graph shows that the VOL premium survives 7(!) factors. I use public data only. Here is a thread in 7 steps Image
1. Using public data from paradoxinvesting.com/data (VOL data) and Kenneth French (Rm-Rf) the CAPM alpha can be computed. The 1-factor alpha has a t-stat of 6. Far above critical levels of 2 or even 3 as suggested by @camharvey
2. Some argue that lowvol stocks are more sensitive to bond markets. 10 year US bonds yields from the St Louis Fred are transformed into bond returns by @LaurensSwinkels mdpi.com/2306-5729/4/3/…. A two-factor regression, including bonds, brings the alpha down a bit (50bps)
Read 9 tweets

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