Varying Risk Inversely with Recent/Expected Volatility
April 8, 2016 - Volatility Effects
Can investors beat the market by avoiding high volatility and embracing low volatility? In the April 2016 version of their paper entitled “Volatility Managed Portfolios”, Alan Moreira and Tyler Muir test the performance of a simple volatility timing approach that lowers (raises) exposure to risky assets when volatility of recent returns for those assets is relatively high (low). Contrary to conventional wisdom,… Keep Reading