Journal of Finance, Volume 72, Issue 4, August 2017, Pages 1611-1644

组合的波动性管理

作者：Alan Moreira (University of Rochester), Tyler Muir (UCLA and the NBER)

摘要：投资组合管理可以以较小的风险在波动性很高的时候产生较大的阿尔法、增加夏普比率和为以均值方差进行投资的投资者带来较大的效用增加。我们对市场、价值、动量、盈利能力、股本回报率、投资、贝塔系数因子以及货币套利交易进行了记录。波动率的变化带动了夏普比率的增加，这是由于波动率的变化无法被预期收益的同比例变化所抵消。我们的策略与传统的认知相反，因为它在萧条中所需的风险相对较小。这排除了典型的基于风险的解释，同时对时变期望收益的结构模型提出了挑战。

Volatility-Managed Portfolios

Alan Moreira (University of Rochester), Tyler Muir (UCLA and the NBER)

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.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12513/full

翻译：秦秀婷