Using a comprehensive set of 103 equity strategies, we analyze the value of volatility-managed portfolios for real-time investors. Volatility-managed portfolios do not systematically outperform their corresponding unmanaged portfolios in direct comparisons. Consistent with Moreira and Muir...

The purpose of this paper is to investigate and discuss historical active manager performance relative to the performance of an appropriate market benchmark. Although this subject has been written about extensively, much of the analysis has traditionally been plagued with data quality issues....

The chapter investigates the potential application of value-at-risk metrics to risk-adjusted performance measures in the case of structured portfolios. The main issue is the appraisal of a decision criterion for portfolio choices with reference to either the asset portfolio given a structured...