This paper examines whether the volatility management suggested by Moreira and Muir to improve profitability in the equity market can generate significant benefits both in‐sample and out‐of‐sample in commodity futures markets as well. The in‐sample results show the significant success of volatility management from the 12‐month momentum and market portfolio, but the out‐of‐sample results show that volatility management fails to improve real‐time performance, which indicates that in‐sample results are not obtainable for real‐time investors in the commodity futures markets. To understand the failure of volatility management, we perform the simulation analysis and find that a negative risk‐return relation seems to play a pivotal role in addition to strong volatility persistency to make volatility management successful.

中文翻译：

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波动率管理的商品期货投资组合

本文研究了Moreira和Muir建议的提高股票市场盈利能力的波动性管理是否可以在商品期货市场的样本内和样本外产生重大收益。样本内结果显示了波动性管理在12个月的动量和市场组合中的巨大成功，但是样本外结果表明，波动性管理无法改善实时性能，这表明样本内结果是商品期货市场上的实时投资者无法获得。为了了解波动率管理的失败，我们进行了仿真分析，发现负的风险-收益关系似乎除了强大的波动率持久性以外，还起着至关重要的作用，以使波动率管理成功。