Sistema Volatilidad Objetivo

Avatar de Usuario
Dalamar
Site Admin
Mensajes: 8924
Registrado: 09 May 2012 01:38

Sistema Volatilidad Objetivo

Mensajepor Dalamar » 07 Oct 2016 17:29

Fuente: http://seekingalpha.com/article/3987572 ... asury-etfs

Two volatility targeting strategies are presented. First a low volatility version is discussed that uses unleveraged funds representing the S&P500, long-term treasuries and mortgage-backed securities. Portfolio allocations are changed monthly.

Backtesting to 1987 shows annual growth of 8.6%, maximum drawdown of -5.8%, standard deviation of 5.1%, worst year of -0.9%, and monthly win rate of 71.5%.

3X leveraged ETFs are substituted for the S&P500 and long-term treasury funds, and the target volatility is increased from 4% to 12%. This becomes the leveraged version of the strategy.

Because the leveraged ETFs have limited history, the leveraged strategy could only be backtested to 2010. The backtest results show CAGR of 21% and maximum drawdown of -10%.

This leveraged strategy is only appropriate for younger investors who desire higher return with corresponding higher risk.
¿Te ha gustado este hilo? Compartelo en las redes sociales para que se sume mas gente a la conversacion!

Avatar de Usuario
Dalamar
Site Admin
Mensajes: 8924
Registrado: 09 May 2012 01:38

Re: Sistema Volatilidad Objetivo

Mensajepor Dalamar » 07 Oct 2016 17:37

¿Te ha gustado este hilo? Compartelo en las redes sociales para que se sume mas gente a la conversacion!


Volver a “Sistemas”

cron

Ingresar