VOLATILITY-MANAGED PORTFOLIOS: EVIDENCE FROM THE US EQUITY MARKET

Abstract

This study assesses whether the strategy Moreira and Muir (2017) on volatility-managed portfolios generates high returns when applied on the U.S. stock market. In our owrk we replicate the methodology of Moreira and Muir for the long-short decile portfolios excluding microcaps and 1,000 largest stocks for the period between June 1963 and January 2020 while Moreira and Muir (2017 used Farma and French factors. We conclude that performance of volatility-managed portfolios is mixed and it is difficult to implement under realistic trading conditions, especially in the universe of large caps.