Downside volatility and volatility typically comove but are not highly correlated during the most volatile times. We … show that portfolios scaled by downside volatility expand the ex post mean-variance frontiers constructed using the … original portfolios and volatility-managed portfolios of Moreira and Muir (2017), and improve the Sharpe ratios of the ex post …

Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor …, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Volatility timing …