I was curious and threw together these 2 graphs that compare 1 yr returns of the US stock markets (~4500 stocks) to their 1 yr volatility and to their market cap 1 year ago.
The summary is:
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There was a slightly negative correlation to volatility, i.e. higher volatility didn't clearly correlate to higher returns (what does that say about risk & return trade offs?)
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There was a clearly negative correlation between market cap and returns, i.e. higher market cap generally means lower returns, which does conform to the notion of small cap premiums and that large mature companies do not deliver higher capital gains.
Submitted January 08, 2017 at 08:11AM by wanmoar http://ift.tt/2iR6C4W
