全球智库信息集成服务系统(G2TT): Volatility Managed Portfolios

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22208
来源ID	Working Paper 22208
	Volatility Managed Portfolios
	Alan Moreira; Tyler Muir
发表日期	2016-05-02
出版年	2016
语种	英语
摘要	Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in factor volatilities are not offset by proportional changes in expected returns. Our strategy is contrary to conventional wisdom because it takes relatively less risk in recessions and crises yet still earns high average returns. This rules out typical risk-based explanations and is a challenge to structural models of time-varying expected returns.
主题	Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w22208
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/579882
推荐引用方式 GB/T 7714	Alan Moreira,Tyler Muir. Volatility Managed Portfolios. 2016.