IMI Working Paper No.2307 How Does the Volatility-Timing Strategy Perform in Mutual Funds

【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 o