@article {Xiong1, author = {James X. Xiong and Thomas M. Idzorek and Roger G. Ibbotson}, editor = {Goyal, Gauri}, title = {Practical Applications of Volatility versus Tail Risk: Which One is Compensated in Equity Funds? }, volume = {1}, number = {4}, pages = {1--4}, year = {2014}, doi = {10.3905/pa.2014.1.4.044}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Volatility versus Tail Risk: Which One is Compensated in Equity Funds? James X. Xiong Thomas M. Idzorek Roger G. Ibbotson Conventional investment theory says that securities with lower risk, or volatility, should have lower returns. But in practice, low-volatility funds do as well as{\textemdash}if not better than{\textemdash}high-volatility funds. The low-volatility anomaly holds true for equity funds as well, according to the authors of Volatility versus Tail Risk: Which One is Compensated in Equity Funds? in the Winter 2014 issue of The Journal of Portfolio Management .{\textquotedblleft}If volatility isn{\textquoteright}t compensated, then what kind of risk is compensated [in terms of higher returns]?{\textquotedblright} asks co-author James Xiong, Head of Quantitative Research at Morningstar Investment Management . Read this Practical Applications report to find out.Xiong{\textquoteright}s co-authors are Thomas M. Idzorek, President of Morningstar Investment Management and Roger G. Ibbotson , Chairman and CIO at Zebra Capital Management and Professor at the Yale School of Management .}, issn = {2329-0196}, URL = {https://pa.pm-research.com/content/1/4/1.8}, eprint = {https://pa.pm-research.com/content/1/4/1.8.full.pdf}, journal = {Practical Applications} }