RT Journal Article SR Electronic T1 Volatility versus Tail Risk: Which One Is Compensated in Equity Funds? JF The Journal of Portfolio Management FD Institutional Investor Journals SP 112 OP 121 DO 10.3905/jpm.2014.40.2.112 VO 40 IS 2 A1 James X. Xiong A1 Thomas M. Idzorek A1 Roger G. Ibbotson YR 2014 UL https://pm-research.com/content/40/2/112.abstract AB Research that has led to the low-volatility anomaly in cross-sectional stocks from a similar universe indicates that volatility is not compensated with a volatility premium. The authors find evidence of a risk premium, but it depends on the definition or measure of risk. Tail risk measures the probability of having significant losses, and should be what investors care about the most. This article investigates several risk measures, including volatility and tail risk, and finds that volatility is not compensated. Tail risk, however, is compensated with higher expected return in both U.S. and non-U.S. equity funds.TOPICS: VAR and use of alternative risk measures of trading risk, tail risks, in portfolio management