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Volatility Harvesting in Theory and Practice

Paul Bouchey, Vassilii Nemtchinov and Ting-Kam Leonard Wong
The Journal of Wealth Management Winter 2015, 18 (3) 89-100; DOI: https://doi.org/10.3905/jwm.2015.18.3.089
Paul Bouchey
is the chief investment officer at Parametric in Seattle, WA.
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  • For correspondence: pbouchey@paraport.com
Vassilii Nemtchinov
is the director of research for Equity Strategies at Parametric in Seattle, WA.
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  • For correspondence: vnemtchinov@paraport.com
Ting-Kam Leonard Wong
is a PhD candidate in the Department of Mathematics at the University of Washington in Seattle, WA.
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  • For correspondence: tkleonardwong@gmail.com
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Abstract

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

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The Journal of Wealth Management: 18 (3)
The Journal of Wealth Management
Vol. 18, Issue 3
Winter 2015
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Volatility Harvesting in Theory and Practice
Paul Bouchey, Vassilii Nemtchinov, Ting-Kam Leonard Wong
The Journal of Wealth Management Oct 2015, 18 (3) 89-100; DOI: 10.3905/jwm.2015.18.3.089

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Volatility Harvesting in Theory and Practice
Paul Bouchey, Vassilii Nemtchinov, Ting-Kam Leonard Wong
The Journal of Wealth Management Oct 2015, 18 (3) 89-100; DOI: 10.3905/jwm.2015.18.3.089
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  • Article
    • Abstract
    • A TALE OF TWO LITERATURES
    • THE VOLATILITY HARVESTING FORMULAS
    • EMPIRICAL ILLUSTRATIONS USING COUNTRY INDEX PORTFOLIOS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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