Michael Bommarito

Why Volatility and Beta Matter

Hey Jeff, another great critique of another very poorly founded article. I just wanted to comment on how useful higher order moments are in analyzing volatility, as using standard deviation/variance as a sole measure of risk ignores much of the risk-reduction that can be had by picking assets with positive skew and kurtosis. If you're interested, I discuss fund-picking based on these parameters in more detail here.