Volatility versus Tail Risk: Which One Is Compensated in Equity Funds?
研究发现，在股票基金中，波动率并未带来风险补偿，而尾部风险（即发生重大损失的概率）则与更高的预期收益相关，这一结论适用于美国和非美国股票基金。
Research that has led to the low-volatility anomaly in cross-sectional stocks from a similar universe indicates that volatility is not compensated with a volatility premium. The authors find evidence of a risk premium, but it depends on the definition or measure of risk. Tail risk measures the probability of having significant losses, and should be what investors care about the most. This article investigates several risk measures, including volatility and tail risk, and finds that volatility is not compensated. Tail risk, however, is compensated with higher expected return in both U.S. and non-U.S. equity funds. <bold>TOPICS:</bold> <ext-link>VAR and use of alternative risk measures of trading risk</ext-link>, <ext-link>tail risks</ext-link>, <ext-link>in portfolio management</ext-link>