RT Journal Article
SR Electronic
T1 Practical Applications of Volatility versus Tail Risk: <em>Which One is Compensated in Equity Funds?</em>
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.2014.1.4.044
VO 1
IS 4
A1 James X. Xiong
A1 Thomas M. Idzorek
A1 Roger G. Ibbotson
A1 Gauri Goyal
YR 2014
UL https://pm-research.com/content/1/4/1.8.abstract
AB Volatility versus Tail Risk: Which One is Compensated in Equity Funds? James X. Xiong Thomas M. Idzorek Roger G. Ibbotson Conventional investment theory says that securities with lower risk, or volatility, should have lower returns. But in practice, low-volatility funds do as well as—if not better than—high-volatility funds. The low-volatility anomaly holds true for equity funds as well, according to the authors of Volatility versus Tail Risk: Which One is Compensated in Equity Funds? in the Winter 2014 issue of The Journal of Portfolio Management .“If volatility isn’t compensated, then what kind of risk is compensated [in terms of higher returns]?” asks co-author James Xiong, Head of Quantitative Research at Morningstar Investment Management . Read this Practical Applications report to find out.Xiong’s co-authors are Thomas M. Idzorek, President of Morningstar Investment Management and Roger G. Ibbotson , Chairman and CIO at Zebra Capital Management and Professor at the Yale School of Management .