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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sg-smu-ink.lkcsb_research-74052019-09-19T06:13:46Z Volatility timing under low-volatility strategy NEO, Poh Ling TEE, Chyng Wen 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 volatility timing strategy can be attributed to holding a diversified portfolio during bear markets, while holding a concentrated growth portfolio during bull markets. 2019-09-01T07:00:00Z text application/pdf 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 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University portfolio management investment strategies Finance Finance and Financial Management |
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portfolio management investment strategies Finance Finance and Financial Management |
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portfolio management investment strategies Finance Finance and Financial Management NEO, Poh Ling TEE, Chyng Wen Volatility timing under low-volatility strategy |
| description |
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 volatility timing strategy can be attributed to holding a diversified portfolio during bear markets, while holding a concentrated growth portfolio during bull markets. |
| format |
text |
| author |
NEO, Poh Ling TEE, Chyng Wen |
| author_facet |
NEO, Poh Ling TEE, Chyng Wen |
| author_sort |
NEO, Poh Ling |
| title |
Volatility timing under low-volatility strategy |
| title_short |
Volatility timing under low-volatility strategy |
| title_full |
Volatility timing under low-volatility strategy |
| title_fullStr |
Volatility timing under low-volatility strategy |
| title_full_unstemmed |
Volatility timing under low-volatility strategy |
| title_sort |
volatility timing under low-volatility strategy |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2019 |
| url |
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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