Where is the Risk Reward? The Impact of Volatility-Based Fund Classification on Performance
This paper examines the impact of volatility-based fund classification on portfolio performance.Using Womens Socks historical data on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk Reward Indicator (SRRI), yields better Sharpe Ratios (SR) and Buy and Hold Returns (BHR) than passi