20200627_吕漫妮_论文展示1
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On the performance of volatility-managed portfolios
Scott Cederburg, Michael S. O'Doherty, , Feifei Wang, Xuemin (Sterling) Yan
Journal of Financial Economics, forthcoming
The volatility-managed portfolios is characterized by conservative positions in the underlying
factors when volatility was recently high and more aggressively levered positions following periods
of low volatility.
1. Introduction
Background:
Recent studies document strong empirical performance for volatility-managed versions of a wide
range of popular trading strategies. The findings have important implications for investors.
Motivation:
1. Moreira and Muir's (2017) spanning regression tests suggest that volatility-scaled portfolios are
potentially more valuable when used in combination with their original counterparts.
2. Although a volatility-managed portfolio constructed directly is straightforward to construct in
real time, the combined investment strategy (scaled and unscaled portfolios) is not.
Whether real-time investors are able to capture the economic gains implied by the spanning
regressions?
Main Work and Conclusions:
We assess whether volatility management is systematically advantageous for investors and place
specific emphasis on real-time implementation, and the same time.
1. We find no statistical or economic evidence that volatility-managed portfolios systematically earn
higher Sharpe ratios.
2. The trading strategies implied by the spanning regressions are not implementable in real time.
3. We provide evidence that this “underperform” result is driven by substantial structural instability
in the underlying spanning regressions for these strategies.
Innovations and Meaning:
Our findings suggest that the in-sample alphas and utility gains do not readily translate into
enhanced portfolio outcomes for investors, offering a complementary viewpoint.
2. Data
2.1. Data description
Database: CRSP, Compustat and IBES
Factors:
a. 9 equity factors: market (MKT), size (SMB), value (HML) factors, momentum factor (MOM),
profitability (RMW) and investment (CMA) factors, profitability (ROE) and investment (IA) factors
and betting-against-beta factor (BAB)
b. 94 anomaly variables reported in Hou et al. (2015) and McLean and Ponti (2016)
Note: For each anomaly, we construct a value-weighted portfolio that takes a long (short) position
in the decile of stock.
2.2. Construction of volatility-managed portfolios
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