. 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 …

The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central …-CPF funds by examining the volatility-timing performance associated with these funds. The volatility-timing ability of CPF funds … to capture the response of funds to market abnormal conditional volatility including the weekday effect. The SMB and HML …