In a paper titled "A Smoother Ride? The Case for Minimum Volatility in the Near- and Long-Term," BlackRock (BLK) examines the risk-adjusted performance of a total market portfolio and a low-beta portfolio over three distinct time periods. In each of the three periods from 1929 through 2011, low-beta stocks produced higher Sharpe ratios than the market portfolio - which included all holdings by all investors in the market during that time period.