波动率择时策略在共同基金投资组合中的表现如何

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2022-07-01 DOI:10.1111/irfi.12387

Zhida Yin, Jilin Jiang, Zongxin Qian

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引用次数: 0

摘要

文献表明，波动择时策略改善了股票市场和货币套息交易中因子投资组合的绩效。本文表明，该策略应用于共同基金组合时，其绩效是混合的。更具体地说，它的表现不仅取决于共同基金的投资风格，而且还取决于应用它的时间段。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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How does the volatility-timing strategy perform in mutual funds portfolios

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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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.