Volatility-managed commodity futures portfolios

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This paper examines whether the volatility management suggested by Moreira and Muir to improve profitability in the equity market can generate significant benefits both in-sample and out-of-sample in commodity futures markets as well. The in-sample results show the significant success of volatility management from the 12-month momentum and market portfolio, but the out-of-sample results show that volatility management fails to improve real-time performance, which indicates that in-sample results are not obtainable for real-time investors in the commodity futures markets. To understand the failure of volatility management, we perform the simulation analysis and find that a negative risk-return relation seems to play a pivotal role in addition to strong volatility persistency to make volatility management successful.
Publisher
WILEY
Issue Date
2021-02
Language
English
Article Type
Article
Citation

JOURNAL OF FUTURES MARKETS, v.41, no.2, pp.159 - 178

ISSN
0270-7314
DOI
10.1002/fut.22175
URI
http://hdl.handle.net/10203/281205
Appears in Collection
MT-Journal Papers(저널논문)
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