Price of Risk: Are Volatility-Controlled Indices Priceless?
研究了基于日内交易价格的波动率控制指数，发现其能稳定实现目标波动率，并在低和高波动环境下提供比标普500指数更高的风险调整收益，尤其在市场极端压力时期表现突出，为改善投资组合效率提供了实用方法。
Using data on a set of volatility-controlled indexes (VCIs), called the S&P 500 Engle Indices, which use intraday transaction prices to implement an intraday volatility control mechanism based on multiplicative component GARCH forecasts, we show that these indices consistently maintain realized volatility close to their target levels while delivering higher risk-adjusted returns than the S&P 500 Index across both low- and high-volatility environments. In addition to achieving their volatility objectives, these indices exhibit particularly strong performance during periods of extreme market stress. We provide a theoretical framework demonstrating that such performance is consistent with a time-varying price of risk, under which volatility-managed strategies can improve Sharpe ratios relative to the underlying asset. Consistent with this explanation, we find that these indices generate statistically significant abnormal returns across multiple factor model specifications. These findings suggest that volatility-controlled indexes may offer a practical approach to improving portfolio efficiency, with potential applications in exchange-traded funds and other investment products.