Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized portfolio volatility through time. Our paper examines strategy performance from an investment practitioner perspective. Using long-term data from the Standard & Poor's 500, we show...

Buyers of alternative investments need to make an allocation decision in a broader portfolio context that includes traditional assets—how much to allocate and from where to fund? Permissible allocations are often capped, and formulating explicit return assumptions is particularly challenging....