Aspects of volatility targeting for South African equity investors
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 indi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2014-11-01
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| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/662 |
| _version_ | 1828261488182165504 |
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| author | Bhekinkosi Khuzwayo Eben Mare |
| author_facet | Bhekinkosi Khuzwayo Eben Mare |
| author_sort | Bhekinkosi Khuzwayo |
| collection | DOAJ |
| 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. |
| first_indexed | 2024-04-13T03:40:38Z |
| format | Article |
| id | doaj.art-ba63c95896584582b737d309dfc262a6 |
| institution | Directory Open Access Journal |
| issn | 1015-8812 2222-3436 |
| language | English |
| last_indexed | 2024-04-13T03:40:38Z |
| publishDate | 2014-11-01 |
| publisher | AOSIS |
| record_format | Article |
| series | South African Journal of Economic and Management Sciences |
| spelling | doaj.art-ba63c95896584582b737d309dfc262a62022-12-22T03:04:10ZengAOSISSouth African Journal of Economic and Management Sciences1015-88122222-34362014-11-0117569169910.4102/sajems.v17i5.662382Aspects of volatility targeting for South African equity investorsBhekinkosi Khuzwayo0Eben Mare1StanlibUniversity of PretoriaWe 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.https://sajems.org/index.php/sajems/article/view/662 |
| spellingShingle | Bhekinkosi Khuzwayo Eben Mare Aspects of volatility targeting for South African equity investors South African Journal of Economic and Management Sciences |
| title | Aspects of volatility targeting for South African equity investors |
| title_full | Aspects of volatility targeting for South African equity investors |
| title_fullStr | Aspects of volatility targeting for South African equity investors |
| title_full_unstemmed | Aspects of volatility targeting for South African equity investors |
| title_short | Aspects of volatility targeting for South African equity investors |
| title_sort | aspects of volatility targeting for south african equity investors |
| url | https://sajems.org/index.php/sajems/article/view/662 |
| work_keys_str_mv | AT bhekinkosikhuzwayo aspectsofvolatilitytargetingforsouthafricanequityinvestors AT ebenmare aspectsofvolatilitytargetingforsouthafricanequityinvestors |