Modern Portfolio Theory tells us that higher returns tend to be associated with higher risk. Active managers tend to boast about their risk management skills and claim that they can generate higher returns than passive funds on a risk-adjusted basis.
The Risk-Adjusted SPIVA® Scorecard assesses the risk-adjusted returns of actively managed funds against their benchmarks on both a net-of-fees and gross-of-fees basis. Volatility, calculated as the standard deviation of monthly returns, is used as a measure of risk, and performance is evaluated by comparing return/volatility ratios.
You can now read the full whitepaper at the link below