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Stats › Rendements de long terme › Volatility targeting

Volatility targeting works for momentum and not for the market

Momentum, p = 0.00
0.50
ROE, p = 0.01
0.32
Betting against beta, p = 0.01
0.24
Profitability, p = 0.29
0.13
Market, p = 0.30
0.09
Value, p = 0.86
-0.02
Investment, p = 0.68
-0.05
Conservative minus aggressive, p = 0.23
-0.13
Size, p = 0.09
-0.15

Change in Sharpe ratio from scaling a factor by the inverse of its previous month's realised variance, managed minus original, with Jobson-Korkie p values. Monthly data through December 2016, factor start dates from 1926 to 1967. Managed beats original in five of nine cases and significantly in three.

Volatility managed portfolios produced a 4.86% annual alpha on the market factor in the original paper. A replication across 103 strategies finds the market Sharpe improvement is not statistically significant, and in real time out of sample the market version does worse than doing nothing.

4.86%Original annualised alpha on the volatility-managed market factor
+0.50Sharpe improvement for momentum, Jobson-Korkie p = 0.00
+0.09Sharpe improvement for the market, p = 0.30
0.42 against 0.46Out-of-sample Sharpe, managed market against plain market

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