  We study several aspects of the so-called low-vol and low-beta anomalies,
some already documented (such as the universality of the effect over different
geographical zones), others hitherto not clearly discussed in the literature.
Our most significant message is that the low-vol anomaly is the result of two
independent effects. One is the striking negative correlation between past
realized volatility and dividend yield. Second is the fact that ex-dividend
returns themselves are weakly dependent on the volatility level, leading to
better risk-adjusted returns for low-vol stocks. This effect is further
amplified by compounding. We find that the low-vol strategy is not associated
to short term reversals, nor does it qualify as a Risk-Premium strategy, since
its overall skewness is slightly positive. For practical purposes, the strong
dividend bias and the resulting correlation with other valuation metrics (such
as Earnings to Price or Book to Price) does make the low-vol strategies to some
extent redundant, at least for equities.
