Testing the low-volatility anomaly using monotonic relation tests

In this thesis we test the low-volatility anomaly using monotonic relation tests. We use both portfolios based on all-cap and large cap stocks which are sorted on some characteristic, such as the volatility, to test whether there is a significant relation between the expected or risk-adjusted return and the characteristic. We show that top-minus-bottom tests can give the wrong conclusion about the presence of a monotonic relation. Also, we conclude that there is indeed an anomaly present in the risk-return relation, although we generally find that this relation is not monotonic.