Managed portfolios that take less risk when volatility is high produce large, positive alphas and increase factor Sharpe ratios by substantial amounts. We document this fact for the market, value, momentum, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Our portfolio timing strategies are simple to implement in real time and are contrary to conventional wisdom because volatility tends to be high after the onset of recessions and crises when risk premia are perceived to be high and selling is often viewed as a mistake. We find that utility gains from volatility timing are large and that volatility timing benefits both short and long horizon investors. These facts are a challenge to standard theories because they imply effective risk aversion would need to be low in bad times when volatility is high and vice versa.