Cholesterol and Volatility

10 Pages Posted: 17 May 2013

See all articles by Patrick Beaudan

Patrick Beaudan

Northern Trust Corporation; Emotomy

Date Written: October 1, 2010


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: or

Patrick Beaudan (Contact Author)

Northern Trust Corporation ( email )

50 South LaSalle Street
Chicago, IL 60603
United States
415 839 5239 (Phone)

Emotomy ( email )

580 California Street
San Francisco, CA 94104
United States


Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics