offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance … performance and risk. The measures chosen are the Annualised Total Return, the Annualised Volatility, the Annualised Sharpe Ratio … and momentum, are able to certify better risk-adjusted returns. …

Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market … relative volatility risk of the portfolio against market indices and the market as a whole. We empirically prove that, through … the same level of risk or even lower than the one exhibited by the market index can be discovered, for any given time …