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Residual Volatility Factor and Implications for the Minimum Volatility Phenomenon

Several academic and empirical studies have identified the so-called "Low Volatility" phenomenon. With the introduction of the new Barra Residual Volatility Factor, users can gain additional insight into the underlying drivers of this phenomenon. This webinar provides intuition behind the Residual Volatility Factor itself, as well as shed light on the Low Volatility phenomenon.

  • Compare Residual Volatility vs. Beta
  • Measure the persistent drift of Residual Volatility
  • Explore characteristics and composition of the Residual Volatility pure factor portfolio
  • Examine thein the Low Volatility phenomenon
  • Analyze the role of Residual Volatility in the Low Volatility phenomenon

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