PSET - Intraday Volatility Control In Tumultuous Markets
2025-06-17 06:49:00 ET
Executive Summary
Volatility-controlled indices with intraday features have gained significant traction in the fixed index annuity (FIA) market, particularly during periods of heightened market turbulence. This research evaluates the performance of intraday volatility control strategies relative to traditional daily-only methods, focusing on the first half of 2025 and other historical drawdown-recovery cycles. The findings show that intraday indices consistently outperform on the downside due to their enhanced responsiveness, though they may lag during sharp rebounds when volatility remains elevated. By incorporating intraday data, rebalancing, and advanced volatility forecasting models, these indices offer improved risk management and potentially more stable participation rates. As adoption accelerates, intraday features are poised to become a standard component of next-generation volatility-controlled strategies....
Intraday Volatility Control In Tumultuous Markets