RT Journal Article
SR Electronic
T1 Volatility Harvesting in Theory and Practice
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 89
OP 100
DO 10.3905/jwm.2015.18.3.089
VO 18
IS 3
A1 Paul Bouchey
A1 Vassilii Nemtchinov
A1 Ting-Kam Leonard Wong
YR 2015
UL https://pm-research.com/content/18/3/89.abstract
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