PT - JOURNAL ARTICLE AU - Paul Bouchey AU - Vassilii Nemtchinov AU - Ting-Kam Leonard Wong TI - Volatility Harvesting in Theory and Practice AID - 10.3905/jwm.2015.18.3.089 DP - 2015 Oct 31 TA - The Journal of Wealth Management PG - 89--100 VI - 18 IP - 3 4099 - https://pm-research.com/content/18/3/89.short 4100 - https://pm-research.com/content/18/3/89.full AB - Rebalancing is an important tool for managing risk in a portfolio. It can also be a source of return—the act of maintaining constant weights generates a buy-low, sell-high trading pattern which is designed to harvest extra return from the volatility of the underlying assets. The authors present a formula that decomposes the excess returns of a portfolio strategy versus the market into three terms: a volatility return, a dispersion return, and a drift return. This approach represents a new way of thinking about the benchmark-relative risks involved with rebalancing.TOPICS: Portfolio construction, performance measurement