{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T12:04:34Z","timestamp":1790597074688,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"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 show that changes in implied Treasury volatility contain short-horizon information about Treasury returns, information that can be used to improve out-of-sample risk-adjusted performance across the yield curve. With this signal we adapt and extend to the US fixed-income domain the volatility-managed portfolio construction introduced by Moreira and Muir (2017) in the equity context. We recover the positive \u03b1 found in equities, and we show that, for every maturity, the volatility-managed portfolios have Sharpe ratios significantly higher than the corresponding buy-and-hold portfolios. Our strategy survives the criticisms that have been levelled at the Moreira and Muir (2017) strategy, in that i) leverage is much lower; ii) it is strictly no-peek-ahead; iii) does not suffer from severe drawdowns; and iv) survives realistic and conservative transaction costs.<\/jats:p>","DOI":"10.2139\/ssrn.7526798","type":"posted-content","created":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T11:52:27Z","timestamp":1790596347000},"source":"Crossref","is-referenced-by-count":0,"title":["Can one Volatility-manage Fixed-Income Portfolios?"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0006-6447-5963","authenticated-orcid":true,"given":"Siddartha","family":"Kodithyala","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Riccardo","family":"Rebonato","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T11:52:27Z","timestamp":1790596347000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7526798"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7526798","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}