RT Journal Article
SR Electronic
T1 Indexing Volatility Risk Control
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 62
OP 75
DO 10.3905/jii.2012.3.2.062
VO 3
IS 2
A1 David Krein
A1 Jeffrey Fernandez
YR 2012
UL https://pm-research.com/content/3/2/62.abstract
AB Volatility risk control strategies have become increasingly popular in this post-financial crisis environment where diversification as the sole form of portfolio risk management has been put under the microscope. The recent anomaly that investors may possibly reduce their overall portfolio volatility without sacrificing return has led to the success of several low volatility index launches over the past couple of years. This article studies the rapid evolution of volatility risk control indexes intended to gauge portfolio risk by targeting desired risk tolerances.TOPICS: Volatility measures, VAR and use of alternative risk measures of trading risk, mutual fund performance