## Figure 1.21. Leveraged and Volatility-Targeting Strategies

## Source details

**Canonical URL:** [Figure 1.21. Leveraged and Volatility-Targeting Strategies](https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-1/csv-data/figure1-21.csv)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2017/october/chapter-1/csv-data/figure1-21.csv.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2017/october/chapter-1/csv-data/figure1-21.csv.json)

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### Dataset scope and structure
- Worksheet name: "csv"
- rowCount: 1449
- columnCount: 23
- Primary table header (as found in the dataset):
  - "Figure 1.21. Leveraged and Volatility-Targeting Strategies"
  - Subsections/headings appearing in the sheet:
    - "1. The Growth of Volatility-Targeting Investors"
    - "2. Leverage for a Theoretical Volatility-Targeting Investment Portfolio"
      - "(Sixty-day moving average)"
      - "(Percent/net asset value)"
    - "3. Global Equity Exposure for a Representative Volatility-Targeting Investment Portfolio2"
- Column headings present in the data row sample:
  - "Investment Strategy"
  - "Volatility Target (percent)"
  - "Flexibility to Deviate from Volatility Target"
  - "AUM Mid-2017"
  - "Growth in AUM Past Three Years (percent)"
  - "Leverage of 60/40 portfolio with a 12 percent volatility target "
  - "Global equity index volatility "
  - "Global bond index volatility"
  - "Exposure to US equities "
  - "Exposure to global non-US equities "
  - "VIX index (maximum quarterly level)"
  - (several intermediary empty columns appear in the sheet layout as in the sample rows)

### Sample observations (first two populated strategy rows)
- Variable Annuities
  - "Volatility Target (percent)": "8�12"
  - "Flexibility to Deviate from Volatility Target": "Low"
  - "AUM Mid-2017": "$440 billion"
  - "Growth in AUM Past Three Years (percent)": "69"
  - "Leverage of 60/40 portfolio with a 12 percent volatility target ": "1/2/2012"
  - "Global equity index volatility ": "0.622"
  - "Global bond index volatility": "24.67"
  - Additional volatility cell: "4.89"
  - "VIX index (maximum quarterly level)" context: "2015:Q1"
  - "Exposure to US equities ": "25.83"
  - "Exposure to global non-US equities ": "38.16"
  - Final numeric sample cell: "22.39"
- CTA/Systematic Trading
  - "Volatility Target (percent)": "15"
  - "Flexibility to Deviate from Volatility Target": "Medium"
  - "AUM Mid-2017": "$220 billion"
  - "Growth in AUM Past Three Years (percent)": "19"
  - "Leverage of 60/40 portfolio with a 12 percent volatility target ": "1/3/2012"
  - "Global equity index volatility ": "0.625"
  - "Global bond index volatility": "24.74"
  - Additional volatility cell: "4.90"
  - "VIX index (maximum quarterly level)" context: "Q2"
  - "Exposure to US equities ": "26.13"
  - "Exposure to global non-US equities ": "28.13"
  - Final numeric sample cell: "18.85"

### Key dataset features to note
- The sheet mixes textual labels (strategy names and descriptive headings) with numeric indicators for volatility targets, AUM, AUM growth, index volatilities, exposures to US and non-US equities, and VIX maximum quarterly levels.
- Several columns in the sample rows are empty, indicating layout spacing or multi-panel figure structure within the CSV.
- Numeric formatting and values are preserved exactly as in the sample (e.g., "$440 billion", "69", "8�12", "0.622", "24.67").

*Figure 1.21 dataset (worksheet "csv") from the supplied CSV file*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-1/csv-data/figure1-21.csv_