مقاله انگلیسی ریسک نزولی و عملکرد پرتفولی های مدیریت شده با نوسانات
Abstract
Keywords
Introduction
Data and methodology
Empirical results
Conclusions
CRediT authorship contribution statement
Appendix A
Supplementary material
Appendix B. Supplementary materials
Research Data
References
Abstract
Recent studies find mixed evidence on the performance of volatility-managed portfolios. We show that strategies scaled by downside volatility exhibit significantly better performance than strategies scaled by total volatility. The improved performance is evident in spanning regressions, direct Sharpe-ratio comparisons, and real-time trading strategies. A decomposition analysis indicates that the enhanced performance of downside volatility-managed portfolios is primarily due to return timing, i.e., downside volatility negatively predicts future returns. We find that employing fixed-weight strategies significantly improves the performance of volatility-managed portfolios for real-time investors. Our results hold for nine equity factors and a broad sample of 94 anomaly portfolios.
Introduction
Volatility-managed strategies have been the subject of considerable research during the past few years. These strategies are characterized by conservative positions in the underlying factors when volatility was recently high and more aggressively levered positions when volatility was recently low. Barroso and Santa-Clara (2015) and Daniel and Moskowitz (2016) show that volatility-managed momentum strategies virtually eliminate momentum crashes and nearly double the Sharpe ratio of the original momentum strategy. Moreira and Muir (2017) extend the analysis to nine equity factors and find that volatility-scaled factors produce significantly positive alphas relative to their unscaled counterparts. However, Cederburg, O’Doherty, Wang, and Yan (2020) show that the trading strategies implied by the spanning regressions of Moreira and Muir’s (2017) are not implementable in real time and reasonable out-of-sample versions do not outperform simple investments in the original, unmanaged portfolios.