Vol scaling your strategies is not a free Sharpe-ratio boost.

A large international study across 45 equity markets finds that volatility scaling works best in only a few places: Market beta, value, and especially momentum. Momentum is the standout.

Volatility-managed momentum improves performance consistently across countries, with 39 statistically significant alpha estimates out of 45 markets. But most other factors weaken.

The problem is twofold: Many factors gain little from volatility timing to begin with, and transaction costs erase much of what remains. Volatility management constantly changes leverage, forcing more trading exactly when liquidity deteriorates and spreads widen. Momentum survives best because its volatility-timing benefits are large relative to the added trading burden.

Volatility scaling works best when high volatility coincides with weaker future returns.

Paper by Schwarz: