Artikel
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 Buy and Hold Returns (BHR) than passive investments. However, accounting for the Fama-French factors in the historical data reveals no significant alphas for the vast majority of the strategies. Further analyses conducted by running a simulation study based on a GJR(1,1)-model show no significant difference in mean returns, but significantly lower SRs for the volatility-based strategies. This evidence suggests that neither the higher leverage induced by the SRRI, nor the potential protection in downside markets pay off on a risk adjusted basis.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 3 ; Pages: 1-20 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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portfolio risk
volatility
SRRI
fund performance
regulation
- Event
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Geistige Schöpfung
- (who)
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Ewen, Martin
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2018
- DOI
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doi:10.3390/risks6030080
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Ewen, Martin
- MDPI
Time of origin
- 2018
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