Financial Analyst Journal, Volume 71, Issue 5, 2015

资产配置对全球波动性溢价的影响

作者：William Fallon (Goldman Sachs Asset Management), James Park (Goldman Sachs Asset Management), Danny Yu (Goldman Sachs Asset Management)

摘要：作者研究了波动性风险溢价在机构投资组合中的作用。首先作者为各种全球资产市场界定并计算了波动性风险敞口下的标准化收益。结果发现，空头波动性不仅提供了非常高且显著的夏普比率，大约为1.0，而且还提供了相当大的尾部风险。尽管传统的多元化收益有限，但作者指出，空头波动性风险敞口的适度配置可能会提高长期收益，其中一个案例是将投资组合的夏普比率提高了12%。

Asset Allocation Implications of the Global Volatility Premium

William Fallon (Goldman Sachs Asset Management), James Park (Goldman Sachs Asset Management), Danny Yu (Goldman Sachs Asset Management)

ABSTRACT

The authors examined the role of volatility premiums in institutional investment portfolios. They began by defining and calculating standardized returns to volatility exposure for a variety of global asset markets. They found that shorting volatility offers not only a very high and statistically significant Sharpe ratio of approximately 1.0 but also substantial tail risk. Although classic diversification benefits are limited, the authors show that modest allocations to short volatility exposure could have enhanced long-term returns, in one case increasing the portfolio’s combined Sharpe ratio by 12%.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v71.n5.4

翻译：秦秀婷