Most technical trading strategies primarily focus on price trends to guide investment decisions. We consider an alternative approach that employs changes in the volatility index (i.e., VIX) as a trading indicator and test a variety of thresholds in an easy to implement trading strategy that even...

In a standard four factor framework, mutual fund return volatility is a reliable, persistent, and powerful predictor of future abnormal returns. However, the abnormal returns are eliminated by the addition of a “vol” anomaly factor contrasting returns on portfolios of low and high volatility...

We find that mutual fund investors are more likely to both purchase and redeem funds with high idiosyncratic volatility (IV). Investors' tendency to purchase high IV funds is largely driven by high IV funds having more extreme returns, which increases the salience of the fund. Including flexible...

We find the low volatility anomaly is present in all but the smallest of stocks. Portfolios can be formed on either total or idiosyncratic volatility to take advantage of this anomaly, but we show measures of idiosyncratic volatility are key. Standard risk-adjusted returns suggest that there is...