A Multifactor Perspective on Volatility‐Managed Portfolios
提出一个条件多因子投资组合，在样本外和扣除交易成本后仍优于无条件组合，并发现因子风险价格通常随市场波动率下降，表明风险收益权衡的失效比以往认为的更令人困惑。
ABSTRACT Moreira and Muir question the existence of a strong risk‐return trade‐off by showing that investors can improve performance by reducing exposure to risk factors when their volatility is high. However, Cederburg et al. show that these strategies fail out‐of‐sample, and Barroso and Detzel show they do not survive transaction costs. We propose a conditional multifactor portfolio that outperforms its unconditional counterpart even out‐of‐sample and net of costs. Moreover, we show that factor risk prices generally decrease with market volatility. Our results demonstrate that the breakdown of the risk‐return trade‐off is more puzzling than previously thought.