Target Volatility

Rule No. 1: Never lose money. Rule No. 2: Never forget rule No. 1. - Warren Buffett

The rationale of this strategy is rather simple: allocate most of the capital to safe assets (like cash or bonds) when times get rough, otherwise allocate more to risk assets (in this case stocks).

Strategy details

  • Asset classes: equities, government bonds
  • Number of assets: 3
  • Backtest period: Jan 2003 - Oct 2022
  • Rebalancing frequency: variable, average 9.5/year
  • CAGR: 5.26 %
  • Maximum drawdown: 11.71 %
  • Sharpe ratio: 1.33
  • Maximum leverage: 1 (long only)
  • Detailed tearsheet: Target Volatility

Equity curve

Sampling of the equity curve is on a monthly basis. Target Volatility

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