Volatility timing under low-volatility strategy

• 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
• Institution: Singapore Management University

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...