Moreira and Muir question the existence of a strong risk-return trade-off by showing that investors can improve performance by reducing exposure to risk factors when their volatility is high. However, Cederburg et al. show that these strategies fail out-of-sample, and Barroso and Detzel show they do not survive transaction costs. We propose a conditional multifactor portfolio that outperforms its unconditional counterpart even out-of-sample and net of costs. Moreover, we show that factor risk prices generally decrease with market volatility. Our results demonstrate that the breakdown of the risk-return trade-off is more puzzling than previously thought.

中文翻译：

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波动率管理投资组合的多因素视角


Moreira 和 Muir 质疑存在强大的风险回报权衡，他们表明投资者可以通过在风险因素波动性较高时减少风险因素的敞口来提高业绩。然而，Cederburg 等人表明，这些策略在样本外失败，而 Barroso 和 Detzel 表明它们无法承受交易成本。我们提出了一个有条件的多因子投资组合，即使在样本外和扣除成本的情况下，它的表现也优于其无条件投资组合。此外，我们表明因子风险价格通常会随着市场波动而下降。我们的结果表明，风险-回报权衡的细分比以前认为的更令人费解。