Sentences with phrase «volatility factor index»

Four of these factor strategies — RAFI Value Factor Index, RAFI Low Volatility Factor Index, RAFI Quality Factor Index, and RAFI Size Factor Index — and fundamental indices will also be available in a variety of geographic categories, providing investors a wide range of choices to meet their unique preferences.

Not exact matches

And for taxable accounts with balances over $ 500,000, the robo - advisor offers «advanced indexing,» where it weights the stocks in a portfolio based on various factors, including low volatility and high dividend yield, to further power potential returns, all for the same advisory fee that applies to all accounts.

Instead, let's consider some of the underlying factors impacting the VIX — or more correctly, the Chicago Board Options Exchange Volatility Index, which reflect market estimates of future volatility — to see if we can properly frame what it means for investors anVolatility Index, which reflect market estimates of future volatility — to see if we can properly frame what it means for investors anvolatility — to see if we can properly frame what it means for investors and traders.

That may explain why the MSCI Minimum Volatility Indexes, which historically outperformed in defensive markets, are now the most popular MSCI factor iIndexes, which historically outperformed in defensive markets, are now the most popular MSCI factor indexesindexes.

The O'Shares FTSE Russell Small Cap Quality Dividend ETF tracks an index of US small - cap stocks weighted for exposure to quality, low volatility, and high yield factors.

The CNN Fear & Greed Index monitors seven market factors, including stock price momentum, stock price strength, stock price breadth, put and call options, junk bond demand, market volatility and safe haven demand, by calculating how far they have veered from their averages relative to how far they normally veer, on a scale of 0 to 100, with 0 indicating fear and 100 greed.

From this, it follows that the sensitivity to the spot VIX, namely the beta, has to be a critical factor in the design of volatility indices.

Investments in commodities may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity.

The «core» figure is clearly doing more than just reducing volatility - it's leaving out components that have been in clear uptrends, and is therefore understating an index that's probably already understated due to factors like «hedonic» adjustments, «rental equivalent» housing costs, and the like.

Their analysis involves (1) estimating the factor characteristics of each stock in a broad index; (2) aggregating the characteristics across all stocks in the index; and (3) matching aggregated characteristics to a mimicking portfolio of five indexes representing value, size, quality, momentum and low volatility styles, adjusted for estimated expense ratios.

In December 2015, S&P BSE launched four smart beta indices based on four factors — momentum, value, low volatility, and quality.

Similarly, the S&P BSE Quality Index had relatively lower return volatility and the smallest drawdown among the four factors, highlighting the defensive characteristics of the quality factor.

In contrast, the S&P BSE Low Volatility Index was the laggard among the factors in the up - trending market, but it was the best - performing factor when the market was down.

The index captures large - and mid-cap representation across 22 developed market Europe, Australasia, and Far East countries and aims to represent the performance of value, low volatility, and quality factor strategies.

The Index is an equal weighted combination of the following three MSCI Factor Indices in a single composite index: the MSCI EAFE Value Weighted Index, the MSCI EAFE Minimum Volatility Index, and the MSCI EAFE Quality Index (eaIndex is an equal weighted combination of the following three MSCI Factor Indices in a single composite index: the MSCI EAFE Value Weighted Index, the MSCI EAFE Minimum Volatility Index, and the MSCI EAFE Quality Index (eaindex: the MSCI EAFE Value Weighted Index, the MSCI EAFE Minimum Volatility Index, and the MSCI EAFE Quality Index (eaIndex, the MSCI EAFE Minimum Volatility Index, and the MSCI EAFE Quality Index (eaIndex, and the MSCI EAFE Quality Index (eaIndex (each, a

O'Shares FTSE Europe Quality Dividend ETF (OEUR) seeks to replicate an index of European stocks whose constituents are determined by quality, volatility and yield factors.

Commodity - linked derivative instruments may involve additional costs and risks such as changes in commodity index volatility or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

Multifactor is represented by the Russell 1000 Comprehensive Factor Index, which combines the performance of all five Russell 1000 factor indexes: size, value, quality, momentum, and volatFactor Index, which combines the performance of all five Russell 1000 factor indexes: size, value, quality, momentum, and volatfactor indexes: size, value, quality, momentum, and volatility.

I have dabbled in quantitative factor models in the past, and normally I start with an index, group by sector, and then compare each company relative to its sector (I use valuation metrics, liquidity, technical factors such as relative strength and price relative to moving averages, earnings volatility, earnings estimates revisions, balance sheet metrics, beta, and a proprietary risk / reward metric).

They focus on net fund alphas, meaning after - fee returns in excess of the risk - free rate, adjusted for exposures to three kinds of risk factors well known at the start of the sample period: (1) traditional equity market, bond market and credit factors; (2) dynamic stock size, stock value, stock momentum and currency carry factors; and, (3) a volatility factor specified as monthly returns from buying one - month, at ‐ the ‐ money S&P 500 Index calls and puts and holding to expiration.

The Index is composed of four sub-indices, each of which represents a specific beta exposure (or factor tilt): (i) high valuation, (ii) high momentum, (iii) low volatility, and (iv) size (each, a «Beta Sub-Index»).

The MSCI World Factor Mix A-Series Index captures large - and mid-cap representation across 23 developed countries and aims to represent the performance of value, low volatility, and quality factor stratFactor Mix A-Series Index captures large - and mid-cap representation across 23 developed countries and aims to represent the performance of value, low volatility, and quality factor stratfactor strategies.

The Index is an equal weighted combination of the following three MSCI Factor Indices in a single composite index: the MSCI World Value Weighted Index, the MSCI World Minimum Volatility Index, and the MSCI World Quality Index (each, a «Component Index&raqIndex is an equal weighted combination of the following three MSCI Factor Indices in a single composite index: the MSCI World Value Weighted Index, the MSCI World Minimum Volatility Index, and the MSCI World Quality Index (each, a «Component Index&raqindex: the MSCI World Value Weighted Index, the MSCI World Minimum Volatility Index, and the MSCI World Quality Index (each, a «Component Index&raqIndex, the MSCI World Minimum Volatility Index, and the MSCI World Quality Index (each, a «Component Index&raqIndex, and the MSCI World Quality Index (each, a «Component Index&raqIndex (each, a «Component Index&raqIndex»).

The launch of QARP adds to the existing Xtrackers comprehensive factor indices line - up, which is designed to track the equity market performance of companies that have demonstrated relatively strong exposure to targeted investment style factors: value, momentum, quality, volatility and size.

Franklin has created its own quality - based indexes, such as the LibertyQ U.S. Large Cap Equity Index, which is composed of 246 U.S. mid and large cap companies that have favorable exposure to four investment style factors — quality, value, momentum, and low volatility.

The performance of an exchange - traded fund may vary from the market index it attempts to replicate due to market volatility, transaction costs, valuation differences, differences between the assets held in the exchange - traded fund's portfolio relative to the market index, and other factors.

Both the S&P 500 Low Volatility High Dividend Index and the NASDAQ US Dividend Achievers 50 Index are dividend - based indexes, but each has different factor tilts beyond just dividends, which can affect performance.

The S&P 500 Low Volatility Index selects the 100 least - volatile members of the S&P 500 index; lacking any sector constraints, the index seeks to provide pure exposure to the low volatiliVolatility Index selects the 100 least - volatile members of the S&P 500 index; lacking any sector constraints, the index seeks to provide pure exposure to the low volatility faIndex selects the 100 least - volatile members of the S&P 500 index; lacking any sector constraints, the index seeks to provide pure exposure to the low volatility faindex; lacking any sector constraints, the index seeks to provide pure exposure to the low volatility faindex seeks to provide pure exposure to the low volatilityvolatility factor.

High beta, value factors among the star performers, while low volatility lags amid heightened appetite for risk The high beta, value and size factors outperformed the broad - market S&P 500 Index by a sizeable margin during the third quarter, with the S&P 500 High Beta Index gaining 12.18 % during the three - month period — outpacing all other Read more -LSB-...]

This mutual fund tracks the Russell 1000 Comprehensive Factor Index, which is designed to capture exposure to large - cap U.S. equities using five factors: quality, value, momentum, low volatility and size.

«We have a lot of indices that focus on dividend investing, generating high dividend yields, we have products in the low risk space to reduce volatility as well as factor - based minimum variance products.

The LibertyQ U.S. Large Cap Equity Index utilizes a multi-factor selection process that is designed to select equity securities from the Russell 1000 ® Index that have exposure to four investment style - factors: quality, value, momentum and low volatility — while seeking a lower level of risk and higher risk - adjusted performance than the Russell 1000 ® Index over the long term.

«Smart beta» or factor indices bridge the gap between active and passive management by allowing investors to tilt toward specific investment attributes — for example, low volatility or high dividend yield.

The methodology for a third subset of the S&P 500 Index, the S&P 500 Low Volatility High Dividend Index, combines two defensive factors.

The three core multi-factor LibertyQ funds use LibertyQ indices that apply a truly unique approach of using custom factor weightings — quality (50 %), value (30 %), momentum (10 %) and low volatility (10 %)-- in seeking to capture desirable, long - term performance attributes:

Already we see investors using the Vanguard High Dividend Yield Index and iShares US Minimum Volatility Index as the benchmark for their respective factors and I feel that is effective.

Hartford Multifactor Low Volatility International Equity Index (LLVINX or the «Index») seeks to address risks and opportunities within developed (excluding the US) and emerging market stocks by selecting equity securities exhibiting low volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum, quality and sizVolatility International Equity Index (LLVINX or the «Index») seeks to address risks and opportunities within developed (excluding the US) and emerging market stocks by selecting equity securities exhibiting low volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum, quality and sizvolatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum, quality and size factors.

And for taxable accounts with balances over $ 500,000, the robo - advisor offers «advanced indexing,» where it weights the stocks in a portfolio based on various factors, including low volatility and high dividend yield, to further power potential returns, all for the same advisory fee that applies to all accounts.

FTXO tracks the Nasdaq U.S. Smart Banks Index, which employs growth, value, and volatility factors in its weighting scheme.

The Index is an equal weighted combination of the following three MSCI Factor Indices in a single composite index: the MSCI USA Value Weighted Index, the MSCI USA Quality Index, and the MSCI USA Minimum Volatility IIndex is an equal weighted combination of the following three MSCI Factor Indices in a single composite index: the MSCI USA Value Weighted Index, the MSCI USA Quality Index, and the MSCI USA Minimum Volatility Iindex: the MSCI USA Value Weighted Index, the MSCI USA Quality Index, and the MSCI USA Minimum Volatility IIndex, the MSCI USA Quality Index, and the MSCI USA Minimum Volatility IIndex, and the MSCI USA Minimum Volatility IndexIndex.

Commodity ETPs are generally more volatile than broad - based ETFs and can be affected by increased volatility of commodities prices or indexes as well as changes in supply and demand relationships, interest rates, monetary and other governmental policies or factors affecting a particular sector or commodity.

For factor - based strategies that can be implemented efficiently — notably the value and low - volatility strategies — lower - fee indexing seems more advantageous.

The index takes into account factors such as the number of winning trades out of the total and volatility.

The Bitcoin Misery Index considers factors such as volatility and number of winning trades from the cumulative total while suggesting when to buy bitcoins.

Lee's misery index takes into account a variety of BTC market factors including winning trades and volatility.