Benefits of Volatility Targeting Across Asset Classes
June 4, 2018 - Bonds, Commodity Futures, Currency Trading, Equity Premium, Volatility Effects
Does volatility targeting improve Sharpe ratios and provide crash protection across asset classes? In their May 2018 paper entitled “Working Your Tail Off: The Impact of Volatility Targeting”, Campbell Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison, and Otto Van Hemert examine return and risk effects of long-only volatility targeting, which scales asset and/or portfolio exposure higher (lower) when… Keep Reading