in relation to different strategies including momentum volatility scaling, risk-based asset allocation, time series … and active management. The paper addresses this direction by introducing the volatility-timed winners approach that … applies past volatilities as a timing predictor to mitigate momentum factor underperformance for time intervals spanning the …

average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …