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Downside risk and the performance of volatility-managed portfolios

机译:下行风险和波动率管理的投资组合的表现

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Recent studies find mixed evidence on the performance of volatility-managed portfolios. We show that strategies scaled by downside volatility exhibit significantly better performance than strategies scaled by total volatility. The improved performance is evident in spanning regressions, direct Sharpe-ratio comparisons, and real-time trading strategies. A decomposition analysis indicates that the enhanced performance of downside volatility-managed portfolios is primarily due to return timing, i.e., downside volatility negatively predicts future returns. We find that employing fixed-weight strategies significantly improves the performance of volatility-managed portfolios for real-time investors. Our results hold for nine equity factors and a broad sample of 94 anomaly portfolios. (c) 2021 Elsevier B.V. All rights reserved.
机译:最近的研究发现有关波动率管理的投资组合的表现的混合证据。 我们表明,下行波动率缩小的策略表现出比总波动率缩小的策略显着更好。 在跨越回归,直接锐利比较和实时交易策略中,改善的性能是显而易见的。 分解分析表明,下行波动率管理的投资组合的增强性能主要是由于返回时序,即下行波动率消极预测未来返回。 我们发现,采用固定权重策略显着提高了对实时投资者的波动性托管投资组合的表现。 我们的结果持有9个股权因素和94个异常组合的广泛样本。 (c)2021 elestvier b.v.保留所有权利。

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