Systematic volatility
⚠ weakenedbetaVIXRisk· Price data
Coefficient on daily change in the VIX of a 1-month rolling window regression of daily stock excess returns on market return and the daily change in the CBOE S&P 100 volatility index (downloaded from FRED). Require at least 15 non-missing observations.
IS Sharpe (1986–2005)
0.798
+11.1% p.a.
OOS Sharpe (2006–2024)
0.218
+2.5% p.a.
Sharpe decay
+72.7%
(IS − OOS) / |IS|
IS vol
13.9%
annualized
Cumulative return (last 40 years, monthly)
+962%1986-022024-12
Publication details
AuthorsAng et al.
PaperAng et al. (2006)
JournalJournal of Finance
Publication year2006
Original sample1986–2000
IS T-statistic3.90
More Risk anomalies
Return skewness+0.47Market+0.44Idiosyncratic skewness (3F model)+0.39EPS Forecast Dispersion+0.32Coskewness using daily returns+0.30Coskewness+0.28
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