{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,22]],"date-time":"2026-10-22T17:43:06Z","timestamp":1792690986589,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":32,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We replicate and extend Moreira and Muir (2017) by volatility-managing the Fama-French five factors plus the momentum factor over 1963 to 2026, using daily data from the Kenneth French Data Library. Each factor's exposure is scaled by the inverse of its prior-month realized variance, so the leverage decision uses only past information. Regressing the managed factor on the original (the Moreira-Muir spanning test, with Newey-West standard errors) gives an honest, factor-dependent answer: volatility timing earns large and statistically significant alpha on the crash-prone factors, momentum (8.9% per year, t = 5.0) and profitability (RMW, 2.3% per year, t = 2.9), while it adds nothing for size, value, or investment, and the market factor's managed alpha is positive but insignificant over the full sample. Volatility-managed momentum raises the annualized Sharpe ratio from 0.51 to 0.89 (0.81 net of a 14 basis point per turn transaction cost). The results are consistent with Barroso and Santa-Clara (2015): the factors that benefit are those whose left-tail crashes cluster in high-volatility states. We treat the study as performance attribution rather than a live strategy, reporting turnover and net-of-cost Sharpe throughout, and we include sector-level factor attribution and a sector-momentum baseline as context.<\/jats:p>","DOI":"10.2139\/ssrn.7113079","type":"posted-content","created":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T12:38:26Z","timestamp":1785328706000},"source":"Crossref","is-referenced-by-count":0,"title":["Volatility-Managed Factor Portfolios: A Replication and Extension on the Fama-French Five Factors and Momentum"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0006-2382-9411","authenticated-orcid":true,"given":"Tanishk","family":"Yadav","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"4","key":"ref1","doi-asserted-by":"crossref","DOI":"10.3390\/jrfm13040084","article-title":"Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions","volume":"13","author":"N Antonakakis","year":"2020","journal-title":"Journal of Risk and Financial Management"},{"issue":"1","key":"ref2","doi-asserted-by":"crossref","first-page":"26","DOI":"10.1016\/j.jfineco.2018.07.016","article-title":"Indexing and stock market serial dependence around the world","volume":"132","author":"G Baltussen","year":"2019","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"ref3","doi-asserted-by":"crossref","first-page":"271","DOI":"10.1093\/jjfinec\/nby001","article-title":"Measuring the frequency dynamics of financial connectedness and systemic risk","volume":"16","author":"J Barun\u00edk","year":"2018","journal-title":"Journal of Financial Econometrics"},{"issue":"1","key":"ref4","doi-asserted-by":"crossref","first-page":"289","DOI":"10.1111\/j.2517-6161.1995.tb02031.x","article-title":"Controlling the false discovery rate: A practical and powerful approach to multiple testing","volume":"57","author":"Y Benjamini","year":"1995","journal-title":"Journal of the Royal Statistical Society: Series B"},{"issue":"3","key":"ref5","doi-asserted-by":"crossref","first-page":"535","DOI":"10.1016\/j.jfineco.2011.12.010","article-title":"Econometric measures of connectedness and systemic risk in the finance and insurance sectors","volume":"104","author":"M Billio","year":"2012","journal-title":"Journal of Financial Economics"},{"key":"ref6","doi-asserted-by":"crossref","DOI":"10.1016\/j.eneco.2019.104536","article-title":"How do normalization schemes affect net spillovers? 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