Aspects of volatility targetting for South African equity investors

Show simple item record Khuzwayo, Bhekinkosi Mare, Eben 2014-12-03T08:44:45Z 2014-12-03T08:44:45Z 2014
dc.description.abstract 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. en_US
dc.description.librarian am2014 en_US
dc.description.uri en_US
dc.identifier.citation Khuzwayo, B & Mare, E 2014, 'Aspects of volatility targetting for South African equity investors', South African Journal of Economic and Management Sciences, vol. 17, no. 5, pp. 691-699. en_US
dc.identifier.issn 1015-8812 (print)
dc.identifier.issn 2222-3436 (online)
dc.language.iso en en_US
dc.publisher Department of Economics, University of Pretoria en_US
dc.rights © 2014 The Authors en_US
dc.subject Volatility en_US
dc.subject Equities en_US
dc.subject Risk en_US
dc.subject Return en_US
dc.subject Draw-down en_US
dc.subject Asset allocation en_US
dc.subject Implied volatility en_US
dc.subject Volatility index (VIX) en_US
dc.title Aspects of volatility targetting for South African equity investors en_US
dc.type Article en_US

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