Sentences with phrase «annualized factor return»

The average annualized factor return in the United States over our study period July 1973 — September 2016 is 4.86 %.

Not exact matches

Even though investing in the best decile of a composite of value factors averages out to have excess returns of almost four percent annualized, when looking at shorter investment periods it only works a little better than two out of three years on a one - year basis.

Converting today's P / E10 into an annualized return, we take the Nth root of 2 as the adjustment factor, where N is the number of years that it takes to restore P / E10 to its long - term level.

Once I factor in the likelihood of these people defaulting, my current adjusted net annualized return is closer to 13.5 %.

Factor - Based Smart Betas The prospect of an average annualized excess return of nearly 5 % across six robust and largely independent factors helps explain the strong investor demand for factor inveFactor - Based Smart Betas The prospect of an average annualized excess return of nearly 5 % across six robust and largely independent factors helps explain the strong investor demand for factor invefactor investing.

The value factor returns are compound annualized returns.