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Article

Industry Rotation and Time-Varying Sensitivity by VIX

Maggie Copeland, Michael Copeland and Thomas Copeland
The Journal of Portfolio Management Special Issue Dedicated to Stephen A. Ross 2018, 44 (6) 89-97; DOI: https://doi.org/10.3905/jpm.2018.44.6.089
Maggie Copeland
is an adjunct professor at New York University in New York, NY, and cofounder of Copeland Valuation Consultants in La Jolla, CA
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Michael Copeland
is a graduate student in Mathematics of Finance at Columbia University in New York, NY
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Thomas Copeland
is a visiting professor at New York University in New York, NY; a professor at the University of San Diego in San Diego, CA; and cofounder of Copeland Valuation Consultants in La Jolla, CA
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Abstract

In this article, the authors, one of whom was a doctoral student of Stephen A. Ross, investigate the cross section of industry returns and the effect of uncertainty as proxied by the VIX index. They find that different moments of the distribution of cross-sectional returns for industries are significantly correlated to both the change in VIX and the level of VIX. Furthermore, the size effect diminishes after controlling for the industry effect. The sensitivity to the change in VIX is time varying. Different VIX regimes and different events can alter industry sensitivities. Non-stationarity of the sensitivity may also introduce complexity on factor or smart beta strategies, which tilt toward a favorable risk premium factor. Finally, the authors propose a general approach for industry rotation.

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The Journal of Portfolio Management: 44 (6)
The Journal of Portfolio Management
Vol. 44, Issue 6
Special Issue Dedicated to Stephen A. Ross 2018
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Industry Rotation and Time-Varying Sensitivity by VIX
Maggie Copeland, Michael Copeland, Thomas Copeland
The Journal of Portfolio Management Jun 2018, 44 (6) 89-97; DOI: 10.3905/jpm.2018.44.6.089

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Industry Rotation and Time-Varying Sensitivity by VIX
Maggie Copeland, Michael Copeland, Thomas Copeland
The Journal of Portfolio Management Jun 2018, 44 (6) 89-97; DOI: 10.3905/jpm.2018.44.6.089
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  • Article
    • Abstract
    • CORRELATION
    • WHERE IS THE SIZE EFFECT?
    • VIX MATTERS
    • EVENT HORIZON
    • INDUSTRY ROTATION
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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