How does the volatility-timing strategy perform in mutual funds portfolios |
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| Authors: | Zhida Yin Jilin Jiang Zongxin Qian |
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| Institution: | 1. International Monetary Institute, Renmin University of China, Beijing, China;2. Global Decision Science Department, American Express, New York, USA;3. School of Finance, Renmin University of China, Beijing, China |
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| Abstract: | Literature suggests that a volatility-timing strategy improves the performance of factor portfolios in the stock market and currency carry trade. This paper shows that the performance of this strategy is mixed when applied to mutual fund portfolios. More specifically, its performance not only depends on the investment style of the mutual funds but also the time periods when it is applied. |
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| Keywords: | mutual fund skew volatility-timing |
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