. 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 …

We apply the Quantile Regression Model to observe the rankcorrelation between bond fund performance and asset,volatility …, management fee, Sharpe index and show that fundperformance between volatility as a negative significantrelationship, implied …

between equity fund flow and investment volatility in Taiwan. Our empirical results show that the equity fund managers will be … different business strategy under the volatility threshold value and the control variables of asset of funds, management fee and … Turnover indicator. After the financial crisis, the threshold of volatility will be an important index to different business …

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 … mean returns, but significantly lower SRs for the volatility-based strategies. This evidence suggests that neither the …