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Aspects of volatility targetting for South African equity investors

dc.contributor.authorKhuzwayo, Bhekinkosi
dc.contributor.authorMare, Eben
dc.date.accessioned2014-12-03T08:44:45Z
dc.date.available2014-12-03T08:44:45Z
dc.date.issued2014
dc.description.abstractWe 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.librarianam2014en_US
dc.description.urihttp://www.sajems.org/en_US
dc.identifier.citationKhuzwayo, 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.issn1015-8812 (print)
dc.identifier.issn2222-3436 (online)
dc.identifier.urihttp://hdl.handle.net/2263/42787
dc.language.isoenen_US
dc.publisherDepartment of Economics, University of Pretoriaen_US
dc.rights© 2014 The Authorsen_US
dc.subjectVolatilityen_US
dc.subjectEquitiesen_US
dc.subjectRisken_US
dc.subjectReturnen_US
dc.subjectDraw-downen_US
dc.subjectAsset allocationen_US
dc.subjectImplied volatilityen_US
dc.subjectVolatility index (VIX)en_US
dc.titleAspects of volatility targetting for South African equity investorsen_US
dc.typeArticleen_US

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