Risk Control: Who Cares?

Nick Taylor

European Financial Management, 2017, vol. 23, issue 1, 153-179

Abstract: The performance of recently introduced risk†control indices is evaluated and tested with respect to a set of competing indices. Applying a method of moments methodology to these data reveals that the performance of strategies that track risk†control indices have economic and statistical significance to investors with realistic risk aversion parameter values. However, this performance varies over time and appears to be determined by macroeconomic and liquidity conditions.

Date: 2017
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