Volatility: A dead ringer for downside risk

Volatility is as widely used as is widely criticized as a risk metric. This short article argues that despite its many shortcomings volatility is pervasive for two mutually-reinforcing reasons: First, it is very widely known; and second, it is a very good proxy for the downside risk that investors r...

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Autor: Estrada, J. (Javier)|||/items/10eb52f4-753e-4abb-b6c5-c86ed2103820
Tipo de recurso: artículo
Fecha de publicación:2026
País:España
Institución:Universidad de Navarra
Repositorio:Dadun. Depósito Académico Digital de la Universidad de Navarra
Idioma:inglés
OAI Identifier:oai:dadun.unav.edu:10171/122359
Acceso en línea:https://hdl.handle.net/10171/122359
Access Level:acceso abierto
Palabra clave:Volatility
Downside risk
Semideviation
Drawdown
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spelling Volatility: A dead ringer for downside riskEstrada, J. (Javier)|||/items/10eb52f4-753e-4abb-b6c5-c86ed2103820VolatilityDownside riskSemideviationDrawdownVolatility is as widely used as is widely criticized as a risk metric. This short article argues that despite its many shortcomings volatility is pervasive for two mutually-reinforcing reasons: First, it is very widely known; and second, it is a very good proxy for the downside risk that investors really dislike. The evidence discussed here shows that a ranking of assets by volatility is very highly correlated with rankings made by different metrics that directly assess downside risk.ElsevierDadun. Depósito Académico Digital Universidad de Navarra20262026-02-0520262026-02-05journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10171/122359reponame:Dadun. Depósito Académico Digital de la Universidad de Navarrainstname:Universidad de NavarraInglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:dadun.unav.edu:10171/1223592026-06-21T12:47:57Z
dc.title.none.fl_str_mv Volatility: A dead ringer for downside risk
title Volatility: A dead ringer for downside risk
spellingShingle Volatility: A dead ringer for downside risk
Estrada, J. (Javier)|||/items/10eb52f4-753e-4abb-b6c5-c86ed2103820
Volatility
Downside risk
Semideviation
Drawdown
title_short Volatility: A dead ringer for downside risk
title_full Volatility: A dead ringer for downside risk
title_fullStr Volatility: A dead ringer for downside risk
title_full_unstemmed Volatility: A dead ringer for downside risk
title_sort Volatility: A dead ringer for downside risk
dc.creator.none.fl_str_mv Estrada, J. (Javier)|||/items/10eb52f4-753e-4abb-b6c5-c86ed2103820
author Estrada, J. (Javier)|||/items/10eb52f4-753e-4abb-b6c5-c86ed2103820
author_facet Estrada, J. (Javier)|||/items/10eb52f4-753e-4abb-b6c5-c86ed2103820
author_role author
dc.contributor.none.fl_str_mv Dadun. Depósito Académico Digital Universidad de Navarra
dc.subject.none.fl_str_mv Volatility
Downside risk
Semideviation
Drawdown
topic Volatility
Downside risk
Semideviation
Drawdown
description Volatility is as widely used as is widely criticized as a risk metric. This short article argues that despite its many shortcomings volatility is pervasive for two mutually-reinforcing reasons: First, it is very widely known; and second, it is a very good proxy for the downside risk that investors really dislike. The evidence discussed here shows that a ranking of assets by volatility is very highly correlated with rankings made by different metrics that directly assess downside risk.
publishDate 2026
dc.date.none.fl_str_mv 2026
2026-02-05
2026
2026-02-05
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/10171/122359
url https://hdl.handle.net/10171/122359
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Dadun. Depósito Académico Digital de la Universidad de Navarra
instname:Universidad de Navarra
instname_str Universidad de Navarra
reponame_str Dadun. Depósito Académico Digital de la Universidad de Navarra
collection Dadun. Depósito Académico Digital de la Universidad de Navarra
repository.name.fl_str_mv
repository.mail.fl_str_mv
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