RT Journal Article
SR Electronic
T1 Managed Volatility Strategies: Applications to
Investment Policy
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 27
OP 39
DO 10.3905/jpm.2013.40.1.027
VO 40
IS 1
A1 Frederick E. Dopfel
A1 Sunder R. Ramkumar
YR 2013
UL https://pm-research.com/content/40/1/27.abstract
AB 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