. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

given ETF. It is shown that the stocks must be from ETFs which select high-quality, low-volatility stocks. The usual …

be attributable to ex ante earnings volatility, and they are robust to alternative sample selection criteria, sub …