RT Journal Article
SR Electronic
T1 Measuring Alpha Potential in the Market
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 40
OP 47
DO 10.3905/jii.2011.2.2.040
VO 2
IS 2
A1 Paul Bouchey
A1 Mary Fjelstad
A1 Hemambara Vadlamudi
YR 2011
UL https://pm-research.com/content/2/2/40.abstract
AB In this article, the authors formally define a measure of cross-sectional volatility, demonstrate potential uses for a set of indices that track this metric, and establish a strong, positive relationship between cross-sectional volatility and active manager dispersion.TOPICS: Passive strategies, volatility measures, manager selection, VAR and use of alternative risk measures of trading risk