A New Method for Evaluating a Portfolio’s Downside Risk

$25.00

Authors: Charles Gabriel and Mark Huamani

We introduce a measure of downside risk which estimates a portfolio's exposure to short-term, market-wide price declines in equity markets.  We examine our measure in the context of three major stock market downturns and find that (a) there is a wide dispersion in equity funds' reaction to downturns and (b) the measure predicts funds' reactions up to nine months ahead.

Free Subscription!

The Journal of Performance Measurement

The Performance Measurement Resource.

Click to Subscribe