A conservative discontinuous target volatility strategy

Buy and hold strategies make staying disciplined difficult for investors, especially given the variability of returns for different asset classes/strategies during divergent market conditions. Market timing strategies, on the other hand, present significant theoretical benefits, but in reality these benefits are difficult to obtain. Tactical asset allocation, where limited deviations from the strategic allocation are allowed permits the portfolio manager to take advantage of market conditions fits between these two extremes. The authors correlate daily returns for each of eighteen separate asset classes typically used in diversified institutional portfolios and daily closing values of the VIX (the ticker symbol for the Chicago Board Options Exchange Volatility Index). This information is used to select those classes whose returns are most responsive to the level of the VIX. Portfolio allocations for eight selected asset classes are revised depending on the level of the VIX at the daily close of the market. The portfolio is rebalanced on the business day following the day the VIX hits the trigger value. The VIX tactical allocation overlay yields an increase in return over the buy and hold portfolio of approximately 38 basis points. The authors conclude that the tactical asset allocation strategy based on the level of VIX provides a higher return than the neutral buy and hold allocation with a higher Sharpe ratio and lower volatility.

Retracted on August 17, 2020 by the Journal’s owner and Publisher. Type of retraction – plagiarism.
There wasn’t a request for this retraction, but the reason for investigation of plagiarism fact was the Russian Academy of Sciences Committee’s report “Predatory Journals at Scopus and WoS: Translation Plagiarism from Russian Sources”: https://kpfran.ru/wp-content/uploads/plagiarism-by-translation-2.pdf” dated August 12, 2020. The publishing house has familiarized itself with the report. The article by Alexey Mikhaylov, Natalia Sokolinskaya and Evgeniy Lopatin (2019). Asset allocation in equity, fixed-income and cryptocurrency on the base of individual risk sentiment. Investment Management and Financial Innovations, 16(2), 171-181. doi:10.21511/imfi.16(2).2019.15 was mentioned in this report. It is noted that translation plagiarism was detected in this article - http://wiki.dissernet.org/wsave/IMFI_2019_2_1publ.html.
Due to this the publishing house carried out an investigation on possible cases of plagiarism of all articles of these authors (Alexey Mikhaylov, Natalia Sokolinskaya and Evgeniy Lopatin) published in “Business Perspectives” journals.
When the manuscript "Asset allocation in equity, fixed-income and cryptocurrency on the base of individual risk sentiment" was submitted to the Journal for consideration, the authors signed the Cover letter and attested to the fact that their manuscript is an original research and has not been published before. Then, the manuscript was accepted for consideration by the Managing Editor and was tested for plagiarism using the iThenticate and Unicheck programs. Plagiarism was not detected. On August 12, 2020 the Russian Academy of Sciences Committee’s presented the report. Editorial staff decided to re-test all articles of mentioned authors for plagiarism using the iThenticate and Unicheck programs – the programs didn’t show the plagiarism, then the articles were tested for translation plagiarism by the experts of “Business Perspectives” and plagiarism was detected (plagiarism and paraphrases from Russian-language sources).

According to the results of the investigation, the Publisher and owner of the journal decided to retract this article because of plagiarism on August 17, 2020.
The authors were notified of such a decision.

This paper focuses on classical portfolio strategies applied to five countries, which are Brazil, Russia, India, China and South Africa. These five countries form the so-called BRICS group. In particular, the authors investigate their corporate and sovereign bond market and evaluate whether these markets can represent a profitable investment for non-satiable and risk-averse investors. Two-step optimization is proposed to control price risk and market risk. For price risk management, classical immunization strategies and are obtained funds of bond are obtained that share the same risk measure. For market risk control, the previously found funds are used and a performance measure optimization commonly used in stock markets is applied to define the best portfolio of funds. Therefore, the resulting optimal portfolio controls the price risk and jointly maximizes a desired performance measure that includes the market risk. Finally, the authors propose an empirical analysis to evaluate the profitability of the suggested two-step optimization for the five BRICS countries and compare the ex-post sample paths of the obtained portfolios for testing the stochastic dominance relations.