Publication Type
Conference Paper
Version
submittedVersion
Publication Date
9-2019
Abstract
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.
Keywords
portfolio management, investment strategies
Discipline
Finance | Finance and Financial Management
Research Areas
Finance; Quantitative Finance
Publication
UBS Quant Conference, Shanghai, China, 2019 September 20-21
Publisher
Springer Verlag
City or Country
Shanghai, China
Citation
NEO, Poh Ling and TEE, Chyng Wen.
Volatility timing under low-volatility strategy. (2019). UBS Quant Conference, Shanghai, China, 2019 September 20-21.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6406
External URL
https://www.ubs.com/global/en/investment-bank/ib-conferences/apac/quant-conference/program.html