INSIGHTS

Knowledge is Power

Deep dives into volatility mechanics, index construction, and market forces shaping risk-managed solutions

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Intraday Volatility Control in Tumultuous Markets

Research Note -

Intraday Volatility Control in Tumultuous Markets
Volatility-controlled indices with intraday features have gained significant traction in the fixed index annuity (FIA) market, particularly during periods of heightened market turbulence. This research evaluates the performance of intraday volatility control strategies relative to traditional daily-...

Latest Insights

Ongoing analysis from Salt’s team of researchers, strategists, and collaborators — covering volatility, market structure, and innovation in index design.

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Intraday Everywhere - Making Sense of the Latest Trend in Volatility-Controlled Indices

Research Note -

Intraday Everywhere - Making Sense of the Latest Trend in Volatility-Controlled Indices
Volatility-controlled indices featuring "intraday" data and mechanisms have become more popular as crediting options in ...
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Modernizing Volatility-Managed Strategies

Published Research -

Modernizing Volatility-Managed Strategies
There is a positive relationship between the performance of volatility managed strategies and the accuracy of the volati...
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"All Weather" Revisited

Research Note -

"All Weather" Revisited
Firms such as Bridgewater Associates pioneered the concept of "risk parity", allocating assets in a way that balances th...
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Risk “Dis”-Parity

Published Research -

Risk “Dis”-Parity
A twist on Risk Parity that considers Equities and Bonds may not behave similarly in the face of volatility....
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The Layman’s Guide to Volatility Forecasting

Research Note -

The Layman’s Guide to Volatility Forecasting
Volatility forecasting can work reasonably well—but measuring results is not as easy as it appears. Capturing both intra...
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Increasing the Information Content of Realized Volatility Forecasts

Published Research -

Increasing the Information Content of Realized Volatility Forecasts
An innovative technique that more effectively utilizes intraday data to predict realized volatility....
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Volatility Managed Indexes: The Importance of Intraday Data

Published Research -

Volatility Managed Indexes: The Importance of Intraday Data
Not all volatility control indices are created equal - the input data, and volatility measure are paramount....
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Stack the Deck With "Rolling Realized Volatility"

Research Note -

Stack the Deck With "Rolling Realized Volatility"
Forecasting accuracy is generally enhanced with the addition of more datapoints. Unfortunately, nobody can create more f...
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Volatility Targeting: The Bridge Between Options-Based and Traditional Defensive Strategies

Published Research -

Volatility Targeting: The Bridge Between Options-Based and Traditional Defensive Strategies
A comprehensive comparison between traditional low-risk strategies, buffer strategies, and risk control....