{"id":"https://openalex.org/W7223350647","doi":"https://doi.org/10.3905/jpm.2026.085","title":"Crowding-Aware Volatility Timing for Factor Portfolios","display_name":"Crowding-Aware Volatility Timing for Factor Portfolios","publication_year":2026,"publication_date":"2026-10-28","ids":{"openalex":"https://openalex.org/W7223350647","doi":"https://doi.org/10.3905/jpm.2026.085"},"language":"en","primary_location":{"id":"doi:10.3905/jpm.2026.085","doi":"https://doi.org/10.3905/jpm.2026.085","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jpm.2026.085","pdf_url":null,"source":{"id":"https://openalex.org/S143806524","display_name":"The Journal of Portfolio Management","issn_l":"0095-4918","issn":["0095-4918","2168-8656"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Portfolio Management","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.7656082","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5061074544","display_name":"Xuan Feng","orcid":"https://orcid.org/0000-0002-1426-6593","observed_orcids":["https://orcid.org/0000-0002-1426-6593"]},"institutions":[{"id":"https://openalex.org/I90326151","display_name":"Ecole des Hautes Etudes Commerciales du Nord","ror":"https://ror.org/05q7a8a02","country_code":"FR","type":"education","lineage":["https://openalex.org/I90326151"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Xuan Feng","raw_affiliation_strings":["EDHEC Business School, 393 Promenade des Anglais, Nice, 59046, France","Independent Researcher"],"raw_orcid":"https://orcid.org/0000-0002-1426-6593","affiliations":[{"raw_affiliation_string":"EDHEC Business School, 393 Promenade des Anglais, Nice, 59046, France","institution_ids":["https://openalex.org/I90326151"]},{"raw_affiliation_string":"Independent Researcher","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5061074544"],"corresponding_institution_ids":["https://openalex.org/I90326151"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.84094306,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"jpm.2026.085","last_page":"jpm.2026.085"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9750999808311462,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9750999808311462,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.020800000056624413,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.0005000000237487257,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility-timing","display_name":"volatility timing","score":0.902999997138977},{"id":"https://openalex.org/keywords/volatility-management","display_name":"volatility management","score":0.9070000052452087},{"id":"https://openalex.org/keywords/factor-investing","display_name":"factor investing","score":0.675000011920929},{"id":"https://openalex.org/keywords/vix","display_name":"VIX","score":0.6159999966621399},{"id":"https://openalex.org/keywords/return-persistence","display_name":"return persistence","score":0.8510000109672546},{"id":"https://openalex.org/keywords/market-stress","display_name":"market stress","score":0.8130000233650208},{"id":"https://openalex.org/keywords/out-of-sample-performance","display_name":"out-of-sample performance","score":0.6290000081062317},{"id":"https://openalex.org/keywords/drawdown","display_name":"drawdown","score":0.9829999804496765}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7778000235557556},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.6991000175476074},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6815999746322632},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.63919997215271},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.630299985408783},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.5752999782562256},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.5583999752998352},{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.5361999869346619},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.5325999855995178},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.44929999113082886},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.44830000400543213},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.38690000772476196},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.3767000138759613},{"id":"https://openalex.org/C149333683","wikidata":"https://www.wikidata.org/wiki/Q5189188","display_name":"Crowding","level":2,"score":0.3702000081539154},{"id":"https://openalex.org/C2777284652","wikidata":"https://www.wikidata.org/wiki/Q7940000","display_name":"Volatility risk","level":5,"score":0.3499999940395355},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.3481999933719635},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.31630000472068787},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.2842999994754791},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.2757999897003174},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.25290000438690186}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3905/jpm.2026.085","doi":"https://doi.org/10.3905/jpm.2026.085","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jpm.2026.085","pdf_url":null,"source":{"id":"https://openalex.org/S143806524","display_name":"The Journal of Portfolio Management","issn_l":"0095-4918","issn":["0095-4918","2168-8656"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Portfolio Management","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.7656082","doi":"https://doi.org/10.2139/ssrn.7656082","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.7656082","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.2139/ssrn.7656082","doi":"https://doi.org/10.2139/ssrn.7656082","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.7656082","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W1995834279","https://openalex.org/W2002882686","https://openalex.org/W2061978002","https://openalex.org/W2069044823","https://openalex.org/W2103679355","https://openalex.org/W2109718988","https://openalex.org/W2119553923","https://openalex.org/W2125520394","https://openalex.org/W2130659611","https://openalex.org/W2136120210","https://openalex.org/W2182051792","https://openalex.org/W2235373759","https://openalex.org/W2320868325","https://openalex.org/W2559938825","https://openalex.org/W2609300041","https://openalex.org/W2614466292","https://openalex.org/W2892056295","https://openalex.org/W2944770027","https://openalex.org/W3121515669","https://openalex.org/W3121630491","https://openalex.org/W3121788486","https://openalex.org/W3123639445","https://openalex.org/W3124020741","https://openalex.org/W3124312708","https://openalex.org/W3124476761","https://openalex.org/W3125064869","https://openalex.org/W3126136988","https://openalex.org/W3198699843","https://openalex.org/W3199499308","https://openalex.org/W4211134865","https://openalex.org/W4211170237","https://openalex.org/W4230576380","https://openalex.org/W4234200146","https://openalex.org/W4237239309","https://openalex.org/W4246501183","https://openalex.org/W4250762315"],"related_works":["https://openalex.org/W7213060569","https://openalex.org/W7112898545","https://openalex.org/W2966033028","https://openalex.org/W7117326343","https://openalex.org/W4293426818","https://openalex.org/W7113133892","https://openalex.org/W7081997593","https://openalex.org/W7171725743","https://openalex.org/W2297322646","https://openalex.org/W4205613512"],"abstract_inverted_index":{"This":[0],"paper":[1],"examines":[2],"whether":[3],"factor":[4,11,33,38],"crowding":[5,34,63],"explains":[6],"when":[7,67,108],"volatility":[8,46,70,103,112],"management":[9,47],"improves":[10,48,78],"investing.":[12],"Using":[13],"six":[14],"U.S.":[15],"equity":[16],"factors\u2014MKT,":[17],"HML,":[18],"MOM,":[19],"RMW,":[20],"CMA,":[21],"and":[22,42,71,85,97],"BAB\u2014and":[23],"VIX":[24],"from":[25,113],"1990":[26],"to":[27],"2026,":[28],"I":[29],"construct":[30],"a":[31],"return-implied":[32],"index":[35],"based":[36],"on":[37],"run-ups,":[39],"return":[40],"persistence,":[41],"VIX-related":[43],"fragility.":[44,115],"Standard":[45],"average":[49],"portfolio":[50],"performance,":[51],"but":[52],"its":[53],"gains":[54],"are":[55],"not":[56],"concentrated":[57],"uniformly":[58],"in":[59],"high-crowding":[60],"states.":[61],"Instead,":[62],"is":[64,105],"most":[65,106],"informative":[66],"combined":[68],"with":[69],"market":[72],"stress.":[73],"A":[74],"crowding-conditioned":[75],"volatility-management":[76],"strategy":[77,92],"the":[79,91],"trade-off":[80],"between":[81],"return,":[82],"volatility,":[83],"skewness,":[84],"drawdown.":[86],"In":[87],"recursive":[88],"out-of-sample":[89],"tests,":[90],"outperforms":[93],"both":[94],"unmanaged":[95],"factors":[96],"standard":[98],"volatility-managed":[99],"factors,":[100],"suggesting":[101],"that":[102],"timing":[104],"effective":[107],"it":[109],"distinguishes":[110],"ordinary":[111],"crowded-position":[114]},"counts_by_year":[],"updated_date":"2026-11-02T09:45:03.842371","created_date":"2026-10-24T00:00:00"}