FYI: Despite the fact that financial theory suggests stocks with high volatility should have higher expected returns—because investors cannot fully diversify away from the firm-specific risk in their portfolios—a growing body of empirical evidence demonstrates a negative return premium in higher-volatility stocks (the low-volatility/low-beta anomaly).
Regards,
Ted
http://www.etf.com/sections/index-investor-corner/swedroe-are-you-compensated-your-risk
