Where is the Risk Reward? The Impact of Volatility-Based Fund Classification on Performance
This paper examines the impact of volatility-based fund classification on portfolio performance. Using historical data on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk Reward Indicator (SRRI), yields better Sharpe Ratios (SR) and...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-08-01
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| Series: | Risks |
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| Online Access: | http://www.mdpi.com/2227-9091/6/3/80 |