Researcher ORCID Identifier
0009-0000-2499-2380
Graduation Year
2025
Date of Submission
4-2025
Document Type
Open Access Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Benjamin Gillen
Terms of Use & License Information
Rights Information
@ 2025 Ryan Enney
Abstract
Within this paper I examine the performance of volatility management across ten U.S. equity industry portfolios. This research is motivated by Moreira and Muir’s (2017) findings, which show that scaling exposure inversely with realized volatility increases Sharpe ratios. I evaluate four distinct volatility-management techniques: one-month realized variance, one-month realized volatility, six-month exponentially weighted moving average of realized volatility (EWMA), and GARCH forecasted one-month volatility. I find that volatility-managed industry portfolios statistically and economically increase Sharpe and Sortino ratios in direct comparison to their unmanaged counterparts. The EWMA strategy provides the most robust performance after accounting for practical transaction costs and leverage constraints. Industries that exhibit the strongest benefits from volatility management include technology, telecom, and utilities. I also find strategy performance varies across subperiods, as negative skewness and kurtosis may disrupt traditional volatility patterns. An analysis of utility confirms that volatility management increases the welfare of both mean-variance and benchmark-aware investors, with the technology portfolio emerging as the most favorable sector for implementation of volatility-management strategies.
Recommended Citation
Enney, Ryan, "Sector-Specific Volatility Management: Evidence from U.S. Equity Industry Portfolios" (2025). CMC Senior Theses. 3892.
https://scholarship.claremont.edu/cmc_theses/3892
