Victor Haghani · The Rational Reminder Podcast · Who Causes Stock Market Anomalies? (w/ Victor Haghani)
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used volatility targeting that reduces exposure when market volatility rises and increases exposure when volatility falls
“I would do volatility targeting at the portfolio level… if I would expect that the volatility going forward would be elevated, then I would cut the risk across the board at a portfolio level.”
“We began volatility targeting the portfolio ... its average volatility would be in approximately probably about a 15 vol in the 90s ... later ... to mute those kinds of responses, to make it more compatible with professional allocators”
“We have seen targeted kind of intervention by the President of the Bank of India, because you can't let the markets decide what the exchange rate will be… it's not going to be the market itself leads to enlarged volatility.”
“When yields continued down to almost zero… expected return for fixed income is low… we reduced fixed income exposure.”
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