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Research

Learning From a Decade of Managed Volatility

Learning From a Decade of Managed Volatility
  • Dynamic risk mitigation strategies seek to provide a capital-efficient way to generate both higher risk-adjusted returns and reduced drawdowns without the cost normally associated with left tail protection.
  • Nearly a decade after it came to prominence, managed volatility continues to be a viable solution for many and performs comparably with other algorithms, such as option replication, trend-following and a blended approach.
  • In our view, investors should not evaluate these strategies solely on the post-2010 period, which was marked by a strong equity bull market without significant downturns until recently.
  • There is no one-size-fits-all solution, and results vary across different countries. We analyze the trade-offs, leaving it to investors to pick the strategy that best suits their needs.

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