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Andrea Frazzini Discusses His Low-Risk Investing Research in CFA Podcast

In a Financial Analysts Journal podcast, AQR Principal Andrea Frazzini talks about low-risk “Betting Against Beta” (BAB) investing, and rebuts critics by showing that BAB provides positive returns as an industry-neutral bet within each industry and as a pure bet across industries.

The interview supplements “Low-Risk Betting Without Industry Bets,” an article in the July/August issue of FAJ, in which Frazzini and co-authors Clifford S. Asness and Lasse H. Pedersen demonstrate how to use low-risk investing within as well as across industries.

“In order to take advantage of this particular effect, investors have to take large industry bets, which some investors consider sort of an undesirable characteristic of these portfolios,” Frazzini said. “What we’ve done in this article is to actually test this hypothesis, to essentially show that lower-beta, lower-volatility portfolios actually earn higher returns within industries.”

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