PT  - JOURNAL ARTICLE
AU  - Valeriy Zakamulin
TI  - Dynamic Asset Allocation Strategies Based<br/>on Unexpected Volatility
AID  - 10.3905/jai.2014.16.4.037
DP  - 2014 Mar 31
TA  - The Journal of Alternative Investments
PG  - 37--50
VI  - 16
IP  - 4
4099  - https://pm-research.com/content/16/4/37.short
4100  - https://pm-research.com/content/16/4/37.full
AB  - The author documents that at the aggregate stock market level, unexpected volatility is negatively related to expected future returns, and positively related to future volatility. The author demonstrates how the predictive ability of unexpected volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in terms of risk-adjusted performance as compared to traditional buy-and-hold strategies. In addition, the author shows that active strategies based on unexpected volatility outperform the popular active strategy with a volatility target mechanism, and have some edge over the popular market timing strategy with a 10-month simple moving average rule.TOPICS: Portfolio construction, analysis of individual factors/risk premia, performance measurement