UPSIDE AND DOWNSIDE BETA PORTFOLIO CONSTRUCTION: A DIFFERENT APPROACH TO RISK MEASUREMENT AND PORTFOLIO CONSTRUCTION

Risk Governance & Control: Financial Markets & Institutions

Austin Guy¹ 

关键词: Beta Portfolio Construction;    Risk Measurement;    Portfolio Construction;   

DOI  :  10.22495/rgcv5i4c1art13

学科分类：社会科学、人文和艺术（综合）

来源: Virtus Interpress

【 摘 要 】

Traditional financial measurements of risk are limited to variance-based methodologies. The most common measurement tool is beta. The beta calculation, however, is directionally agnostic and relies on the assumption of a normal distribution. This is a poor metric by which risk is measured, and is incomplete. The ability to break down beta into Upside and Downside beta allows investors the ability to more intelligently build risk into a portfolio. Using three-year trailing betas may also allow investors the ability to benefit from mean reversion and generate excess returns on a risk-adjusted basis.

【 授权许可】

CC BY-NC