Retirement Portfolios & Dynamic Volatility Management

The Scottish Widows Retirement Portfolio Funds (RPF) feature a de-risking process called Dynamic Volatility Management (DVM). 

DVM is designed to kick in when equity market volatility increases significantly, and is determined by: 

  • Taking as a starting point a market volatility threshold, initially set at the 60th percentile of average historic volatility.
  • Adjusting based on the equity performance over the previous rolling 52 weeks.

The DVM threshold is currently activated; as a result, a portion of the RPF equity content remains de-risked.  

As of Monday morning 3 August: 

  • The percentage of de-risked equity content was 53.9%, an increase from 44.3% on the morning of 27 July (figures represents calculations after close of trading on previous Friday).  
  • While our measure of volatility was 22.4%, the lowest since mid-March, it was the 52-week market that accounted for the increase in de-risking. 
  • The 52-week return as of close of trading on 31 July was -5.8%, compared to -1.3% in the previous week’s calculation. This captures the increase in volatility in markets a year ago, as the US-China trade war kicked off.  

Percentage of de-risking in the Retirement Portfolio Funds

Figures are calculated after close of daily trading.

27 July 2020


28 July 2020


29 July 2020


30 July 2020


31 July 2020


DVM data is subject to change daily, as market conditions can change rapidly and de-risking may switch off again quickly. We are working closely with Schroders, our strategic investment partner, to monitor market conditions and position the RPF accordingly.

Long-term investing

Investing – in equities in particular – should always be considered with a medium to longer-term horizon. While the causes of current market stress are outside of the ‘norm’, equity markets have demonstrated over many decades their ability to recover from short-term troughs and deliver strong returns for investors over the medium to long-term.

Volatility: Retirement Portfolio Funds – latest update on our Dynamic Volatility Management (DVM) process.

Dynamic Volatility Management status (PDF)