Volatility-controlled indices featuring "intraday" data and mechanisms have become more popular as crediting options in ...
Salt Financial
Firms such as Bridgewater Associates pioneered the concept of "risk parity", allocating assets in a way that balances th...
Volatility forecasting can work reasonably well—but measuring results is not as easy as it appears. Capturing both intra...
Forecasting accuracy is generally enhanced with the addition of more datapoints. Unfortunately, nobody can create more f...
Ryan Poirier, ASA, CFA, FRM
Staying on the sidelines can be an effective strategy–if you have the right tools. A dynamic strategy that navigates ...
Low volatility strategies provided little to no protection in March following the COVID outbreak and are continuing to...
Tony Barchetto, CFA
Moving in and out of markets in this environment is difficult to say the least Recent bid/ask spreads suggest stock m...
A twist on Risk Parity that considers Equities and Bonds may not behave similarly in the face of volatility.
An innovative technique that more effectively utilizes intraday data to predict realized volatility.
Razvan Pascalau, PhDRyan Poirier, ASA, CFA, FRM
Not all volatility control indices are created equal - the input data, and volatility measure are paramount.
A comprehensive comparison between traditional low-risk strategies, buffer strategies, and risk control.
