Cholesterol and Volatility

10 Pages Posted: 17 May 2013

Date Written: October 1, 2010

Abstract

In this paper, we examine the nature of volatility to better understand the meaning of and differences between the two standard risk metrics that use it as a basis: the Sharpe ratio and the Sortino ratio. We review how upside and downside volatilities are calculated, and illustrate their usefulness as well as some of their shortcomings when applied to markets and investment funds. In particular, we will show that while volatility is a widely used measure of risk, absence of volatility does not equate to absence of risk.

Keywords: volatility, sharpe ratio, sortino ratio, investment risk

JEL Classification: G11

Suggested Citation

Beaudan, Patrick, Cholesterol and Volatility (October 1, 2010). Available at SSRN: https://ssrn.com/abstract=2266137 or http://dx.doi.org/10.2139/ssrn.2266137

Patrick Beaudan (Contact Author)

Belvedere Advisors LLC ( email )

2 Embarcadero Center
San Francisco, CA 94111
United States
415 839-5239 (Phone)

HOME PAGE: http://www.beladv.com

Emotomy ( email )

2 Embarcadero Center
San Francisco, CA 94111
United States

HOME PAGE: http://www.emotomy.com

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