A Multifactor Perspective on Volatility-Managed Portfolios

• 成果类型: Article
• 署名作者: Demiguel, Victor; Martin-Utrera, Alberto; Uppal, Raman
• 署名单位: University of London; London Business School; Iowa State University; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13395
• 发表日期: 2024
• 页码: 3859-3891
• 关键词: ECONOMIC VALUE; stock returns; performance; asset; anomalies; SHARPE; MODEL

摘要

Moreira and Muir question the existence of a strong risk-return trade-off by showing that investors can improve performance by reducing exposure to risk factors when their volatility is high. However, Cederburg et al. show that these strategies fail out-of-sample, and Barroso and Detzel show they do not survive transaction costs. We propose a conditional multifactor portfolio that outperforms its unconditional counterpart even out-of-sample and net of costs. Moreover, we show that factor risk prices generally decrease with market volatility. Our results demonstrate that the breakdown of the risk-return trade-off is more puzzling than previously thought.