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    On the performance of volatility-managed portfolios

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    Author
    Cederburg, Scott
    O’Doherty, Michael S.
    Wang, Feifei
    Yan, Xuemin (Sterling)
    Affiliation
    Univ Arizona, Eller Coll Management
    Issue Date
    2020-05-01
    Keywords
    Volatility-managed portfolios
    Portfolio choice
    
    Metadata
    Show full item record
    Publisher
    ELSEVIER SCIENCE SA
    Citation
    Cederburg, S., O’Doherty, M. S., Wang, F., & Yan, X. S. (2020). On the performance of volatility-managed portfolios. Journal of Financial Economics.
    Journal
    JOURNAL OF FINANCIAL ECONOMICS
    Rights
    © 2020 Elsevier B.V. All rights reserved.
    Collection Information
    This item from the UA Faculty Publications collection is made available by the University of Arizona with support from the University of Arizona Libraries. If you have questions, please contact us at repository@u.library.arizona.edu.
    Abstract
    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.
    Note
    24 month embargo; published online 1 May 2020
    ISSN
    0304-405X
    DOI
    10.1016/j.jfineco.2020.04.015
    Version
    Final accepted manuscript
    ae974a485f413a2113503eed53cd6c53
    10.1016/j.jfineco.2020.04.015
    Scopus Count
    Collections
    UA Faculty Publications

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