Sentences with phrase «annual standard deviation of returns»

Annual standard deviation of return for the fund calculated over a three - year period.

Not exact matches

With an annual standard deviation of 20, an 8 % average return means that stocks will return between -8 % and +28 %...

From 1970 to 2009, a Canadian stock portfolio (single asset class) earned an average annual return of 9.70 % with a «standard deviation» of 16.57 % 3.

We measure risk using standard deviation, which measures how close together or far apart the annual returns of a portfolio are.

Standard deviation is a historical measure of the variability of returns relative to the average annual return.

Take a set of 5 - year annual returns, and calculate the annualized standard deviation of returns (using monthly deviations and annualizing them is informative).

We focus on gross compound annual growth rate (CAGR), gross maximum drawdown (MaxDD) and rough gross annual Sharpe ratio (average annual return divided by standard deviation of annual returns) as key performance statistics for the Top 1, equally weighted (EW) Top 2 and EW Top 3 portfolios of monthly winners.

He also considers average and median terminal wealth / bequest, tail risk, annual volatility (standard deviation of annual returns) and upside potential.

In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility.

The annual return of the hedge fund has been about 2.3 times greater than the S&P 500, with the same downside standard deviation.

Another way to look at the results of the AAII screens is to calculate compound annual returns divided by standard deviation for each series of results from 1998 to 2012.

From 1970 to 2009, a Canadian stock portfolio (single asset class) earned an average annual return of 9.70 % with a «standard deviation» of 16.57 % 3.

The higher the number, the greater the volatility; for a stock fund that has an average annual return of 12 % and a standard deviation of 20 %, you can expect to earn between 32 % and -8 % in about two out of every three years.

Now, when using a balanced portfolio with a 60/40 asset allocation, the historical return for the same period was 9.30 % mean return (8.76 % CAGR) with 9.35 % standard deviation of annual returns.

The standard deviation of the S&P 500's annual return over the past 50 years is 17 %.

Also, note the observation that the long - term Treasury fund, with no credit risk but large term risk, has a higher standard deviation of annual returns than does the high - yield corporate bond fund, which has significant credit risk but much less term risk.

The first is standard deviation, a statistical measure of how much annual returns vary around their long - term average.

We consider as performance metrics: average annual excess return (relative to the yield on 1 - year U.S. Treasury notes at the beginning of each year); standard deviation of annual excess returns; annual Sharpe ratio; compound annual growth rate (CAGR); and, maximum annual drawdown (annual MaxDD).

If a portfolio has an average expected return of 9.7 % and a standard deviation of 7.6 %, that means in 19 years out of 20 its annual return can be expected to range between — 6 % and 25 %.

And it would have lowered your volatility from a standard deviation of 16.25 % to only 14.83 %, a 6.36 % better annual return with 1.42 % less volatility.

And to quantify that volatility in a mutual fund ETF or portfolio of investments, investors typically turn to standard deviation, a measure that calculates how much an investment's annual return fluctuates around its long - term average annual return.

Without getting too complicated, the standard deviation is basically a measure of the variability in a process (in our case annual stock returns).

The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns.

Figure # 1 tells us there is a 68 % chance (the definition of a standard deviation) that the annual return on investing in small company stocks could be anywhere between plus or minus 32.8 %.

This principle is based on the standard deviation of the annual return.