The Alternative View: How Fast Should We Measure Volatility?

Share on linkedin
Chalk logo

In Short

A common theme across systematic strategies is the concept of controlling the risk of strategy returns. 

This is most commonly achieved by scaling asset positions inversely-proportionally to a volatility forecast for that asset; all of Fulcrum’s systematic strategies employ some form of this scaling mechanism. An essential input into any strategy is therefore a volatility forecast for each asset. What is the optimal lookback horizon for volatility forecasts, and is there a trade-off between better estimates and the strategy’s returns?

To access this White Paper, please fill in this form to be reviewed by our team

Your privacy

Cookies are data files that are stored on your computer or other smart device by a website’s server. Each cookie is unique to your web browser. It will contain some anonymous information such as a unique identifier, website’s domain name, and some digits and numbers. Cookies are useful as they allow us to recognise a user’s device and its preferences in order to ensure that our website works properly. By continuing to use this website, you consent to the use of our cookies.


You can find out the different types of cookies used on our website in our Cookies and Privacy Policy.

Necessary cookies