6533b7d4fe1ef96bd1261d92
RESEARCH PRODUCT
Dynamic Asset Allocation Strategies Basedon Unexpected Volatility
Valeriy Zakamulinsubject
Economics and EconometricsMoving averageAggregate (data warehouse)EconometricsEconomicsStock marketDynamic asset allocationEnhanced Data Rates for GSM EvolutionVolatility (finance)Market timingFinancedescription
The author documents that at the aggregate stock market level, unexpected volatility is negatively related to expected future returns, and positively related to future volatility. The author demonstrates how the predictive ability of unexpected volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in terms of risk-adjusted performance as compared to traditional buy-and-hold strategies. In addition, the author shows that active strategies based on unexpected volatility outperform the popular active strategy with a volatility target mechanism, and have some edge over the popular market timing strategy with a 10-month simple moving average rule.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2014-03-31 | The Journal of Alternative Investments |