【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.

【Keywords】

mutual fund, volatility-timing, factor model, skew

【Authors】

Yin Zhida, Renmin University of China

Jiang Jilin, Global Decision Science Department, American Express

Qian Zongxin, School of Finance, Renmin University of China