The news reporters obtained a quote from the research, "The micro component comes from the selection of low-beta stocks. The macro component comes from the selection of low-beta countries or industries."
According to the news reporters, the research concluded: "Both parts contribute to the anomaly, with important implications for the construction of managed-volatility portfolios."
For more information on this research see: The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects.
Our news correspondents report that additional information may be obtained by contacting
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