코스닥시장에서의 저변동성 투자전략 성과분석

This study verified the low volatility strategy in the KOSDAQ market. Portfolios were formed based on variance volatility and range volatility, and hedge portfolios were also formed additionally. In order to compare the performance of these portfolios, the average return and Sharpe ratio were calculated. The average rate of return did not increase monotonically as portfolio volatility decreased, but the average return on the volatility hedge portfolio showed a significant positive value. Among them, the average return of the variance volatility hedge portfolio was highest. In addition, Sharpe ratio was the highest in the variance volatility hedge portfolio. In order to verify whether the return of the volatility hedge portfolio is explained by risk, a time series regression analysis was performed with the return of the volatility hedge portfolio using the Fama-French 3-factor model. The results showed a statistically significant amount of abnormal returns only in the variance hedge portfolio. In an analysis conducted by dividing periods based on the global financial crisis, the average return on the volatility hedge portfolio was statistically significant only in the period after the global financial crisis. And among them, the variance volatility hedge portfolio had the highest average return, Sharpe ratio, and abnormal return. The above results are different from previous studies that the performance of hedge portfolio using range volatility is better than that of variance volatility in the KOSPI market. This suggests that depending on market characteristics, the method of measuring volatility to implement the most suitable low volatility strategy may be different.