Semivolatility-managed portfolios
Daniel Batista da Silva (U. of Geneva) and M. Fernandes (Getulio Vargas Fnd.)
July 2024
There is ample evidence that volatility management helps improve the risk-adjusted performance of momentum portfolios. However, it is less clear that it works for other factors and anomaly portfolios. We show that controlling by the upside and downside components of volatility yields more robust risk-adjusted performances across a broad set of factors and anomaly portfolios, as well as exchange-traded funds. In particular, we propose semivolatility-managed portfolios that, apart from deleveraging when downside volatility is high, also exploit the higher expected returns in times of good volatility. We find that our semivolatility-managed portfolios that control for both skewness and downside volatility perform better than the original portfolios and extant (semi)volatility management proposals.
Daily Archives: September 6, 2024
Macro Briefing: 6 September 2024
US hiring at companies slowed again in August, dipping to a rise of 99,000 over the previous month, according to the ADP Employment Report. The downshift marks the softest pace since January 2021. “The job market’s downward drift brought us to slower-than-normal hiring after two years of outsized growth,” says Nela Richardson, chief economist, ADP. “The next indicator to watch is wage growth, which is stabilizing after a dramatic post-pandemic slowdown.”
