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Man Group recognised for ‘Outstanding Article’ in Annual Bernstein Fabozzi / Jacobs Levy Awards for research into the impact of volatility targeting

01 March 2019

Man Group’s research paper, ‘The Impact of Volatility Targeting’, has been recognised as an ‘Outstanding Article’ in The Journal of Portfolio Management’s 20th Annual Bernstein Fabozzi / Jacobs Levy Awards. This is the second year in a row that Man Group has received this recognition, which was also awarded to its paper ‘Man vs Machine: Comparing Discretionary and Systematic Hedge Fund Performance’ last year.

’The Impact of Volatility Targeting’, published in late 2018, compares volatility targeting to constant notional exposure (for example, the popular 60/40 equity bond portfolio). The research showed that volatility targeting improved the Sharpe ratio of risk assets and that of balanced and risk parity portfolios, while for bonds, commodities and currencies the effect was negligible. It also showed that it reduced the likelihood of tail events across all asset classes. The paper was co-authored by Sandy Rattray, CIO of Man Group; Campbell R. Harvey, Investment Strategy Advisor at Man Group; Matthew Sargaison, CEO of Man AHL; Otto Van Hemert, Head of Macro Research at Man AHL; Edward Hoyle, Senior Quantitative Analyst at Man AHL; and Russell Korgaonkar, Director of Investment Strategies at Man AHL.

The awards, which were established in 1999 to honour editors Peter Bernstein and Frank Fabozzi, seek to promote research excellence in the theory and practice of portfolio management. The recipients of the award are decided on the basis of voting by subscribers to the Journal of Portfolio Management.

Last year, Man Group’s paper ‘Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance’, was also selected as an ‘Outstanding Article’ by subscribers to the Journal. This research compared the performance of two groups of hedge funds between 1996 to 2014 to understand whether the commonly held belief that systematic strategies underperform discretionary strategies, have returns more easily explained by risk factors and are more homogenous than their discretionary counterparts, was true. The findings suggested that these beliefs are unfounded.

Sandy Rattray, CIO of Man Group and co-author of the paper, said:

“We are honoured to be recognised for ‘Outstanding Article’ in The Journal of Portfolio Management’s Annual Bernstein Fabozzi / Jacobs Levy Awards for the second consecutive year. We believe this is testament to our continued dedication at Man Group to pioneering research in the field of finance and investment management. Our 2018 research contributes to the ongoing debate around volatility-managed portfolios, and should help investors better understand how volatility targeting may be used with the aim to help them achieve higher risk-adjusted returns, both in aggregate as well as across different asset classes.”

 

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