Volatility Targeting, Variance Drain, and the Financialization Effect: A Century of Evidence
Analyzing 100 years of daily data, the study finds volatility scaling harmed returns before 1985 but improved them after, a shift attributed to derivatives markets and deregulation, with walk-forward Sharpe ratio of 1.01.
Featured in No. 134 on 9 Oct 2026 · 1 day after release
- Released
- 8 Oct 2026
- First featured
- No. 134 · 9 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7585278
- Authors
- Sparsh Patel
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).