تقييم أداء المحافظ المدارة بالتقلبات : دراسة حالة الأسواق المالية المتقدمة (1990-2021)‎

الملخص EN

The aim of this study is to evaluate the strategy of volatility managed portfolio on developed financial market against buy-and-hold portfolio.

We have replicated Moreira and Muir's (2017) methodology and implemented it on well-known factors.

Our findings do not agree with their results in general.

The study concludes that the strategy of volatility managed portfolio does not outperform buy-and-hold in our sample except for momentum factor, or in times of financial crises as found in previous studies.