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