The Journal of Portfolio Management, Volume 45, Issue 1, Fall 2018

波动率目标的影响

作者：Campbell R. Harvey (Duke University)

Edward Hoyle (Man AHL)

Russell Korgaonkar (Man AHL)

Sandy Rattray (Man AHL)

Matthew Sargaison (Man AHL)

Otto Van Hemert (Man AHL)

摘要：最近的研究表明，波动率管理的股票投资组合的夏普比率高于名义风险敞口不变的投资组合。作者表明，这一结果对风险资产（如股权和信贷）成立，并将这一发现与所谓的杠杆效应联系起来。相反，对于债券、货币和大宗商品，波动率目标对夏普比率的影响可以忽略不计。然而，波动率目标的影响超出了夏普比率：它降低了所有资产类别的极端收益的可能性。尤其对于投资者而言，左尾事件往往不会那么严重，因为它们通常发生在波动率上升的时候，这时目标波动率投资组合的名义风险敞口相对较小。我们还考虑了流行的60比40股票债券平衡投资组合和股票-债券-信贷-大宗商品“风险平价”投资组合。资产和投资组合水平上的波动率目标提高了夏普比率并降低了尾部事件发生的可能性。

关键词：波动率，波动率目标，平衡基金，风险平价，资产配置，投资组合选择

The Impact of Volatility Targeting

Campbell R. Harvey (Duke University), Edward Hoyle (Man AHL), Russell Korgaonkar (Man AHL), Sandy Rattray (Man AHL), Matthew Sargaison (Man AHL), Otto Van Hemert (Man AHL)

ABSTRACT

Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios than portfolios with a constant notional exposure. We show that this result only holds for “risk assets”, such as equity and credit, and link this to the so-called leverage effect for those assets. In contrast, for bonds, currencies, and commodities the impact of volatility targeting on the Sharpe ratio is negligible. However, the impact of volatility targeting goes beyond the Sharpe ratio: it reduces the likelihood of extreme returns, across all asset classes. Particularly relevant for investors, “left-tail” events tend to be less severe, as they typically occur at times of elevated volatility, when a target-volatility portfolio has a relatively small notional exposure. We also consider the popular 60-40 equity-bond “balanced” portfolio and an equity-bond-credit-commodity “risk parity” portfolio. Volatility scaling at both the asset and portfolio level improves Sharpe ratios and reduces the likelihood of tail events.

Keywords: volatility, volatility targeting, balanced fund, risk parity, asset allocation, portfolio choice

原文链接：http://jpm.iijournals.com/content/45/1/14

翻译：吕越