To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...

To measure the investment performance of a portfolio manager who may engage in market timing, it is necessary to consider both market level and volatility timing behavior as well as security selection ability. We develop and implement measures that accommodate all three components. A well...