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Risk Without Return

Goldberg, Lisa and Mahmoud, Ola. (2013) Risk Without Return. Journal of Investment Strategies, 2 (2). pp. 111-120.

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Official URL: https://edoc.unibas.ch/74248/

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Abstract

Risk-only investment strategies have been growing in popularity as traditional in- vestment strategies have fallen short of return targets over the last decade. However, risk-based investors should be aware of four things. First, theoretical considerations and empirical studies show that apparently dictinct risk-based investment strategies are manifestations of a single effect. Second, turnover and associated transaction costs can be a substantial drag on return. Third, capital diversification benefits may be reduced. Fourth, there is an apparent connection between performance and risk diversification. To analyze risk diversification benefits in a consistent way, we introduce the Risk Diversification Index (RDI) which measures risk concentrations and complements the Herfindahl-Herschman Index (HHI) for capital concentrations.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Corporate Finance (Mahmoud)
UniBasel Contributors:Mahmoud, Ola
Item Type:Article, refereed
Article Subtype:Research Article
Publisher:Incisive Media
ISSN:1460-1559
Note:Publication type according to Uni Basel Research Database: Journal article
Last Modified:26 May 2020 11:05
Deposited On:26 May 2020 11:05

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