Volatility‐Managed Portfolios
研究发现，在波动率高时减少风险的波动率管理策略能产生显著的超额收益、提高夏普比率，并为均值-方差投资者带来巨大效用提升，该策略在衰退期反而降低风险，挑战了传统风险解释。
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.