On the performance of volatility-managed portfolios

• 成果类型: Article
• 署名作者: Cederburg, Scott; O'Doherty, Michael S.; Wang, Feifei; (Sterling) Yan, Xuemin
• 署名单位: University of Arizona; University of Missouri System; University of Missouri Columbia; University System of Ohio; Miami University; Lehigh University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.04.015
• 发表日期: 2020
• 页码: 95-117
• 关键词: Volatility-managed portfolios; portfolio choice

摘要

Using a comprehensive set of 103 equity strategies, we analyze the value of volatility-managed portfolios for real-time investors. Volatility-managed portfolios do not systematically outperform their corresponding unmanaged portfolios in direct comparisons. Consistent with Moreira and Muir (2017), volatility-managed portfolios tend to exhibit significantly positive alphas in spanning regressions. However, the trading strategies implied by these regressions are not implementable in real time, and reasonable out-of-sample versions generally earn lower certainty equivalent returns and Sharpe ratios than do simple investments in the original, unmanaged portfolios. This poor out-of-sample performance for volatility-managed portfolios stems primarily from structural instability in the underlying spanning regressions. (C) 2020 Elsevier B.V. All rights reserved.