From my analysis, there's around a 3.9% abnormal return associated with a L/S beta neutral low beta strategy (long low beta, short high beta). It's Sharpe ratio is ~1, though. 3.9% is pretty significant, especially since the beta correlation is less than 2%.
There's a reason why these factors are called "persistent." For systemic reasons, it is hard to arbitrage them away, mostly due to laws, and sometimes tax implications.
Comments
From my analysis, there's around a 3.9% abnormal return associated with a L/S beta neutral low beta strategy (long low beta, short high beta). It's Sharpe ratio is ~1, though. 3.9% is pretty significant, especially since the beta correlation is less than 2%.
There's a reason why these factors are called "persistent." For systemic reasons, it is hard to arbitrage them away, mostly due to laws, and sometimes tax implications.