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• W2614466292 abstract "Managed portfolios that take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, investment, and betting-against-beta factors, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in volatility are not offset by proportional changes in expected returns. Our strategy is contrary to conventional wisdom because it takes relatively less risk in recessions. This rules out typical risk-based explanations and is a challenge to structural models of time-varying expected returns." @default.
• W2614466292 created "2017-05-26" @default.
• W2614466292 creator A5002005972 @default.
• W2614466292 creator A5033519012 @default.
• W2614466292 date "2017-05-15" @default.
• W2614466292 modified "2023-10-10" @default.
• W2614466292 title "Volatility-Managed Portfolios" @default.
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• W2614466292 doi "https://doi.org/10.1111/jofi.12513" @default.
• W2614466292 hasPublicationYear "2017" @default.
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