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Aspects of volatility targeting for South African equity investors

South African journal of economic and management sciences, 2014-01, Vol.17 (5), p.691-699 [Peer Reviewed Journal]

Copyright University of Pretoria, Faculty of Economic & Management Sciences 2014 ;This work is licensed under a Creative Commons Attribution 4.0 International License. ;ISSN: 1015-8812 ;ISSN: 2222-3436 ;EISSN: 2222-3436 ;DOI: 10.4102/sajems.v17i5.662

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  • Title:
    Aspects of volatility targeting for South African equity investors
  • Author: Khuzwayo, Bhekinkosi ; Mare, Eben
  • Subjects: Asset allocation ; B16 ; B26 ; Business ; Business, Finance ; C59 ; Communication ; Draw-down ; Economics ; Equities ; Equity ; G19 ; Implied volatility ; Investments ; Management ; Public Administration ; Return ; Risk ; Securities markets ; Stock exchanges ; VIX ; Volatility
  • Is Part Of: South African journal of economic and management sciences, 2014-01, Vol.17 (5), p.691-699
  • Description: We consider so-called volatility targeting strategies in the South African equity market. These strategies are aimed at keeping the volatility of a portfolio consisting of a risky asset, typically an equity index, and cash fixed. This is done by changing the allocation of the assets based on an indicator of the future volatility of the risky asset. We use the three month rolling implied volatility as an indicator of future volatility to influence our asset allocation. We compare investments based on different volatility targets to the performance of bonds, equities, property as well as the Absolute Return peer mean. We examine risk and return characteristics of the volatility targeting strategy as compared to different asset classes.
  • Publisher: Pretoria: University of Pretoria
  • Language: English;Afrikaans;Portuguese
  • Identifier: ISSN: 1015-8812
    ISSN: 2222-3436
    EISSN: 2222-3436
    DOI: 10.4102/sajems.v17i5.662
  • Source: SciELO
    ROAD: Directory of Open Access Scholarly Resources
    ProQuest Central
    DOAJ Directory of Open Access Journals
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