VolSD
Return Volatility — Ang Hodrick Xing and Zhang 2006
Risk
Quick facts
| Factor ID | VolSD |
| Display name | Return Volatility |
| Family | Predictor |
| Category | Risk |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Ang Hodrick Xing and Zhang 2006 |
| Source tables | daily |
| Required fields | ret |
| PIT required | no |
| Coverage | 2010-04-07 – 2026-05-15 · 668,688 rows · 97.6% of panel |
Formula
std(ret over t-60 through t-1)
Rolling standard deviation of daily returns over the prior sixty trading days.
China adaptation
Use raw A-share returns unless an excess-return market model is explicitly added later.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.6573% |
| Monthly std | 5.3094% |
| Annualized Sharpe | 0.43 |
| t-stat (simple) | 1.72 |
| Hit rate (months > 0) | 55.4% |
| Last 12M compounded | -19.82% |
| Cumulative wealth (start = 1) | 2.703 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -4.30% | 3.226 | 5107 |
| 2025-06 | +0.73% | 3.249 | 5125 |
| 2025-07 | -4.29% | 3.110 | 5131 |
| 2025-08 | +0.31% | 3.120 | 5136 |
| 2025-09 | +4.35% | 3.256 | 5142 |
| 2025-10 | +2.47% | 3.336 | 5146 |
| 2025-11 | -4.34% | 3.191 | 5148 |
| 2025-12 | -3.07% | 3.093 | 5155 |
| 2026-01 | -2.66% | 3.011 | 5159 |
| 2026-02 | +6.64% | 3.211 | 5163 |
| 2026-03 | -9.12% | 2.918 | 5174 |
| 2026-04 | -7.39% | 2.703 | 5162 |
Known data issues
Long suspension gaps can create oversized adjusted returns.
Notes
Raw volatility is a proxy and not full FF residual volatility.
See also: Risk family, Factor library, Factor returns.