Invest in the stock market when volatility is low and pull away from it as volatility heads higher. Such is the basis of the increasingly popular "volatility targeting investment strategies." While these strategies have gained momentum over recent years, investors should be cautious about employing them, BNY Mellon argues in a new report from its Investment Strategy & Solutions Group.The report, "Volatility May Miss the Mark," throws cold water on volatility targeting investment strategies, saying that such strategies would have worked well over the last 20 years, but would have been far less successful if employed over a longer time period. "Rather than mechanically trading based on the level of volatility, investors would be better off evaluating market fundamentals, both risk and return," Ralph Goldsticker, senior investment strategist for ISSG and author of the report, said in a statement. The report notes that stocks delivered high returns with low volatility during the 1990s, which was followed by a decade of low returns with high volatility. A volatility targeting strategy that dutifully over-weighted stocks during the 1990s bull market and under-weighted them during the disappointing markets of the 2000s would indeed have been highly successful.However, such a strategy would not have worked so well pre-1990, Goldsticker argues."Volatility was relatively high between 1973 and 1990. The period started with a bear market, but stocks performed well for the rest of the period. It's just one example illustrating that the level of volatility is not necessarily linked to future market direction," Goldsticker said. Volatility is determined by the level of economic uncertainty and the level of investor risk aversion, and neither of these factors is systematically linked to subsequent market direction, according to the report. BNY Mellon has $27.1 trillion in assets under custody and administration and $1.3 trillion in assets under management.