Volatility timing under low-volatility strategy

Volatility timing under low-volatility strategy

The authors devise a volatility timing strategy based on statistical tests on the slope of the volatility decile portfolio return profile. Superior performance is obtained, with a 30% increase in Sharpe ratio and an order of magnitude improvement on cumulated wealth. The profitability of the volatil...

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Bibliographic Details
Main Authors: NEO, Poh Ling, TEE, Chyng Wen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
portfolio management
investment strategies
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6406
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7405/viewcontent/Volatility_timing_under_low_volatility_strategy__2_.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/6406
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7405/viewcontent/Volatility_timing_under_low_volatility_strategy__2_.pdf

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