Sentences with phrase «adjusted for its volatility»

Lipper Leader ratings for Consistent Return reflect funds» historic returns, adjusted for volatility, relative to peers.

Again even after adjusting for volatility risk the overnight beats the intraday and in some cases the buy and hold.

If you have a stock account, 65 % of its total will count (they adjust for volatility).

The performance of a security or mutual fund is adjusted for its volatility (price risk) and compared to a benchmark index.

There are other rules out there that adjust for volatility and momentum effect that have done better in the past, but those two effects are being more heavily traded on now relative to the past, which may invalidate the analogy from history to the future.

Not exact matches

The Bank of Canada prefers a trio of inflation measures that adjust for that sort of volatility.

It also adjusts for risk (defined by modern portfolio theory metrics that look at volatility measures) and accounts for sales charges that can detract from performance figures.

I then calculated the risk - adjusted returns (calculated as the returns divided by the historical volatility) for each Dividend Champion over the past 63, 126, and 252 trading days.

Using monthly closes for the S&P 500 Volatility Index (VIX) and monthly and weekly reverse split - adjusted closing prices for VXX from February 2009 through early February 2018 (110 months), we find that: Keep Reading

Do strategies that seek to exploit return volatility persistence by adjusting stock market exposure inversely with recent market volatility relative to some target (including exposures greater than 100 %) produce obvious benefits for investors?

However, with the Federal Reserve (Fed) poised to begin raising rates as early as next month, investors will have to adjust to more modest returns from U.S. stocks as well as brace for heightened volatility.

For the most part, lump sum investing outperformed dollar cost averaging two out of every three times, «even when results are adjusted for the higher volatility of a stock / bond portfolio versus cash investments.&raqFor the most part, lump sum investing outperformed dollar cost averaging two out of every three times, «even when results are adjusted for the higher volatility of a stock / bond portfolio versus cash investments.&raqfor the higher volatility of a stock / bond portfolio versus cash investments.»

«The later stages of the 2009 — 2017 bull market are a valuation illusion built on share buyback alchemy... The technique optically reduces the price - to - earnings multiple because the denominator doesn't adjust for the reduced share count... Share buybacks are a major contributor to the low volatility regime because a large price insensitive buyer is always ready to purchase the market on weakness... Share buybacks result in a lower volatility, lower liquidity, which in turn incentivizes more share buybacks, further incentivizing passive and systematic strategies that are short volatility in all their forms... Like a snake eating its own tail, the market can not rely on share buybacks indefinitely to nourish the illusion of growth.

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.

Remarks: Due to their conceptual scope — and if not explicitly stated otherwise — , all models / setups / strategies do not account for slippage, fees and transaction costs, do not account for return on cash and / or interest on margin, do not use position sizing (e.g. Kelly, optimal f)-- they're always «all in «-- , do not use leverage (e.g. leveraged ETFs), do not utilize any kind of abnormal market filter (e.g. during market phases with extremely elevated volatility), do not use intraday buy / sell stops (end - of - day prices only), and models / setups / strategies are not «adaptive «(do not adjust to the ongoing changes in market conditions like bull and bear markets).

The prospect of lower stock returns and higher volatility going forward suggests for Russ that investors should consider strategies such as carry, or yield, to boost risk adjusted returns.

For example, according to data from MSCI, the MSCI USA Minimum Volatility (USD) index's Sharpe ratio, a common way to measure risk - adjusted returns, was 0.61 for the last ten years, above the benchmark MSCI USA Index's 0.44 ratFor example, according to data from MSCI, the MSCI USA Minimum Volatility (USD) index's Sharpe ratio, a common way to measure risk - adjusted returns, was 0.61 for the last ten years, above the benchmark MSCI USA Index's 0.44 ratfor the last ten years, above the benchmark MSCI USA Index's 0.44 ratio.

A comparison of rolling returns, which determines relative gains or losses of the fund over typical holding periods, does not adjust for the fund's volatility or exposures.

To adjust for the fund's volatility, let's employ the simplest variant of Alpholio ™'s patented methodology.

While a comparison of rolling returns over simulated holding periods is instructive, it does not adjust for the fund's volatility or exposures to various factors.

Risk - adjusted returns, calculated as the ratio of return to volatility, was the highest for the least volatile portfolio, and decreased consistently from the low volatility to high volatility quartiles in all three observation periods.

A comparison of returns does not adjust for the fund's exposures or volatility.

Ranks well in net returns (adjusted for fees and withholding taxes) against comparable ETFs with similar volatility

The authors find that the buy — write strategies» risk - adjusted performance was earned from a combination of a skewness premium, paid to the option writers for assuming the tail risk of potentially unlimited loss, and the reduction in volatility from the hedge of the buy - and - hold security's beta exposure.

Do strategies that seek to exploit return volatility persistence by adjusting stock market exposure inversely with recent market volatility relative to some target (including exposures greater than 100 %) produce obvious benefits for investors?

On the other hand, if an investor not only qualifies for a hedge fund but more importantly is willing to withstand the risk and volatility that coincides with investing in one, the risk - adjusted returns might be worth it.

If this is the case I would suggest considering what your cash needs in the future will be and adjust the volatility of your holdings accordingly, for example:

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 strategy aims to sell assets when their risk - adjusted expected return is falling (rising market volatility) and buying equities when their risk - adjusted expected return is rising (falling market volatility) to provide better risk - adjusted portfolio returns and to account for investor's risk tolerance.

Such a portfolio adjusts for the analyzed fund's volatility and composition to determine the true value added or subtracted by active management.

Their respective Sharpe ratios, a measure of risk - adjusted return, are 0.14 and 0.34, meaning for each percentage point of volatility buy - the - dip yielded 0.14 % in additional annualized return and buy - and - hold yielded 0.34 %.

The Sortino ratio measures the risk - adjusted return of a portfolio, or strategy, but unlike the Sharpe ratio, it only penalizes for returns falling below the target return, whereas the Sharpe ratio penalizes both upside and downside volatility equally.

Returns generated by a specific stock or fund must be adjusted to account for volatility risk when the contributions to success or failure are compared to a benchmark index.

What filters for volatility will you use to adjust your position size and stop losses?

The promise of riches driven by «a proprietary, volatility - adjusted and momentum driven model» never quite panned out for this tiny fund - of - ETFs.

Market makers adjust for such skewness by, instead of using a single standard deviation for the underlying asset σ -LCB- \ displaystyle \ sigma -RCB- across all strikes, incorporating a variable one σ (K)-LCB- \ displaystyle \ sigma (K)-RCB- where volatility depends on strike price, thus incorporating the volatility skew into account.

Moody's stated in its announcement that «the rating action reflects Moody's growing concern about the potential volatility in ultimate performance of mortgage and mortgage - related CDO risks, and the corresponding implications for MBIA's risk - adjusted capital adequacy.»

I then calculated the risk - adjusted returns (calculated as the returns divided by the historical volatility) for each Dividend Champion over the past 63, 126, and 252 trading days.

In a nutshell, the ATR measures volatility using the average range of each price bar and adjusts for any gaps.

On average, it finds that an LSI approach has outperformed a DCA approach approximately two - thirds of the time, even when results are adjusted for the higher volatility of a stock / bond portfolio versus cash investments.

Adjusted for what statistical types call volatility risk, the Couch Potato triumph was even greater.

During times of volatility, traders need to adjust their strategy to compensate for erratic market.

Mean - reversion strategies are very profitable in high volatility markets and can be adjusted for trends.

IFRS 9 will result in higher provisioning and earlier reserving for impairment losses, increasing volatility in income statements and equity from the need to adjust ECL to reflect dynamic forecasts of economic events.