Determinants of Levered Portfolio Performance
推导出一个简洁公式，揭示杠杆策略的累积回报由五个要素决定，其中杠杆与超额回报的协方差是此前未被记录的要素。基于1929-2013年波动率目标策略的实证表明，该协方差显著降低了夏普比率。
The cumulative return to a levered strategy is determined by five elements that fit together in a simple and useful formula. A previously undocumented element is the covariance between leverage and excess return to the fully invested source portfolio underlying the strategy. In an empirical study of volatility-targeting strategies over the 84-year period 1929–2013, this covariance accounted for a reduction in return that substantially diminished the Sharpe ratio in all cases.