Nishath Akula

Volatility Targeting Is Risk Management, Not Alpha: Evidence from 31 ETFs, a Semiconductor Stress Test and a Decade of Gold

Does scaling a single asset’s exposure by the inverse of its recent volatility improve its risk-adjusted return? We test causal daily volatility targeting on 31 liquid exchange-traded funds (ETFs) covering U.S. equity indices, sectors, Treasury and credit bonds, commodities, inte...