Volatility Managed Portfolios
Moreira and Muir (2016) study macro signals and regime strategies in currencies. The abstract mentions a Sharpe ratio, alpha and profits but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We find volatility timing provides large utility gains to a mean variance investor, with increases in lifetime utility ranging from 50-90%.”
AssetCurrencies
StrategyMacro signalsmomentum
ClaimSharpe ratioalpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMacro signals and regime strategies by year
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