{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T12:53:20Z","timestamp":1791550400091,"version":"4.3.4"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>A long-short low-volatility return combines a long low-volatility leg with a short high-volatility leg. Changing the number of holdings can therefore change the reported spread through a leg that a long-only mandate never holds. The analysis estimates leg-specific width slopes for monthly Chinese and U.S. portfolios at N = 30, 100, 300, and 1,000, then condition the Chinese high-leg estimate on past returns, size, and price tier. The width response in the low-volatility spread is concentrated in the high-volatility leg: after past-return, size, and price-tier controls, the Chinese high-leg slope is 67.59 basis points per month per unit of log breadth (permutation p = .001), while the low-leg response is small. In the China IVOL illustration, the controlled slopes imply fitted changes of 237 basis points in the high leg and 24 basis points in the low leg when N moves from 30 to 1,000. These are in-sample translations of estimated slopes, not forecasts of realized returns. A long-only mandate should be evaluated on the low leg at its stated width. THREE KEY TAKEAWAYS: 1-At nominal N = 1,000, effective holdings range from 71 to 260 in the high-volatility leg and from 83 to 104 in the low-volatility leg. 2-In China, the matched-cell high-leg slope is 67.59 basis points per month per unit of log breadth (permutation p = .001); the fitted 30-to-1,000 width changes are 237 basis points in the high leg and 24 in the low leg. 3-Portfolio comparisons should report nominal and effective holdings, target-weight turnover, and each leg's return and risk.<\/jats:p>","DOI":"10.2139\/ssrn.7588142","type":"posted-content","created":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T12:11:35Z","timestamp":1791547895000},"source":"Crossref","is-referenced-by-count":0,"title":["Portfolio Breadth as a Test of the Low-Volatility Puzzle"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0009-0126-4124","authenticated-orcid":true,"given":"Zhongchang","family":"Huang","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T12:11:35Z","timestamp":1791547895000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7588142"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7588142","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}