THE JOURNAL OF PORTFOLIO MANAGEMENT ? VOL.45, NO. 1 ? JANUARY 2019

不同资产类别的波动率溢价和异象

作者：Brian Jacobsen (Wells Fargo Asset Management in Menomonee Falls),

Eddie Cheng (Wells Fargo Asset Management in London, UK),

Wai Lee (Wells Fargo Asset Management in New York, NY)

摘要：投资者因承担风险而要求超额回报，但是有多种证据表明，在许多资产类别中，波动性较大的资产能够获得更高的收益，即存在波动率异象。通过分析股票、固定收益、外汇和大宗商品，作者指出了哪种资产具有波动率溢价，哪些资产具有波动率异象。对于波动率异象，他们提供的证据表明，这种异常既可以用时变波动率溢价来解释，也可以用高阶矩（偏度或峰度）溢价来解释。作者还指出，在不同的资产类别中，偏度溢价分散了其他溢价。从投资组合管理的角度来看，这意味着在资产组合中，高阶矩溢价可以提高资产组合风险调整后的收益。他们的研究还表明，数据的频率对其有效性很重要。对于波动率和偏度，月度指标可能不如年度指标有价值。

Multi-Asset Volatility Premiums or Anomalies?

Brian Jacobsen (Wells Fargo Asset Management in Menomonee Falls), Eddie Cheng (Wells Fargo Asset Management in London, UK), Wai Lee (Wells Fargo Asset Management in New York, NY)

ABSTRACT

Investors demand excess returns for assuming risk, but across many asset classes, there is mixed evidence that more volatile assets realize higher returns than do assets with lower volatility. This is the volatility anomaly. By analyzing equities, fixed income, foreign exchange, and commodities, the authors show which asset classes have volatility premiums and which have volatility anomalies. For those with volatility anomalies, they provide evidence that the anomaly may be well explained by either a time-varying volatility premium or by a premium for higher-order moments such as skew or kurtosis. The authors also show that across asset classes, a skew premium diversifies other well-known premiums. From a portfolio management perspective, this means that harvesting higher-order moment premiums can improve risk-adjusted returns in multi-asset portfolios. Their research also shows that the frequency of the signal matters for its efficacy. For volatility and skew, monthly signals may be less valuable than annual signals.

原文链接：

http://jpm.iijournals.com/content/45/2/47

翻译：吕越