Conditional Multifactor Volatility-Managed Portfolios: Evidence from Global Market

Previous research has established that the risk - return tradeoff of volatility - managed portfolios improves following low - volatility market phases, and conditional multifactor volatility - managed portfolios (CMV) are recognized for their superior performance. In this study, we apply the relevant methodology to 41 countries or regions, obtaining consistent results. Our findings further show that the risk - return tradeoff pattern is affected by both domestic market volatility and that of the US market. Notably, CMV portfolios perform more favorably when US market volatility is factored into the analysis.