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Managed Volatility Strategies: Applications to
Investment Policy

Frederick E. Dopfel and Sunder R. Ramkumar
The Journal of Portfolio Management Fall 2013, 40 (1) 27-39; DOI: https://doi.org/10.3905/jpm.2013.40.1.027
Frederick E. Dopfel
is an independent researcher and former managing director at BlackRock in San Francisco, CA.
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  • For correspondence: fdopfel@gmail.com
Sunder R. Ramkumar
is a managing director at BlackRock in San Francisco, CA.
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  • For correspondence: sunder.ramkumar@blackrock.com
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Abstract

Managed volatility strategies adjust asset allocation dynamically in anticipation of, or in response to extreme market volatility. This implies that during periods of market stress, investors can rebalance to a risk budget as an investment policy option, rather than strictly adhering to current practices that rebalance back to fixed portfolio weights. We measure the advantages of managed volatility with a multi-period model and find that the benefits increase with an investor’s ability to forecast market volatility beyond historical relationships. The practical application for investors is that a more flexible and dynamic investment policy may result in better investment outcomes.

TOPICS: Volatility measures, portfolio construction, portfolio theory

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The Journal of Portfolio Management: 40 (1)
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Fall 2013
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Managed Volatility Strategies: Applications to
Investment Policy
Frederick E. Dopfel, Sunder R. Ramkumar
The Journal of Portfolio Management Oct 2013, 40 (1) 27-39; DOI: 10.3905/jpm.2013.40.1.027

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Managed Volatility Strategies: Applications to
Investment Policy
Frederick E. Dopfel, Sunder R. Ramkumar
The Journal of Portfolio Management Oct 2013, 40 (1) 27-39; DOI: 10.3905/jpm.2013.40.1.027
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  • Article
    • Abstract
    • ECONOMIC RESPONSE TO HIGHER VOLATILITY
    • HISTORICAL VOLATILITY REGIMES
    • POLICY RULES FOR VOLATILITY REGIMES
    • CASE STUDY: MANAGED VOLATILITY DURING THE CREDIT CRISIS
    • MANAGED VOLATILITY: A MORE FLEXIBLE AND DYNAMIC APPROACH TO ASSET ALLOCATION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

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