Sentences with phrase «annualized standard deviation of returns»

The Levy - Gunthorpe standard deviation is superior to calculating the annualized standard deviation of returns as the product of the standard deviation of the monthly returns multiplied by the square root of 12.

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

Key performance metrics are annualized average gross return, annualized standard deviation of returns, annualized gross Sharpe ratio (assuming risk - free rate 0 %) and maximum drawdown.

Not exact matches

Volatility represented by annualized standard deviation of monthly returns for Institutional shares, all other share classes will vary, from first month - end after inception (2/28/89).

Calculate daily realized volatility of IEF as the standard deviation of daily total returns over the past 21 trading days, multiplied by the square root of 252 to annualize.

«Identifying VXX / XIV Tendencies» finds that the Volatility Risk Premium (VRP), estimated as the difference between the current level of the S&P 500 implied volatility index (VIX) and the annualized standard deviation of S&P 500 Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) returns.

For this comparison, Sharpe is defined as fund annualized percentage return (APR) minus 90 - day TBill APR divided by fund annualized standard deviation STDEV, all over the same period, which is lifetime of fund (or back to January 1962).

Specifically, it is the ratio of the fund's annualized excess return divided its standard deviation.

While IJR outperformed MDY in terms of the annualized return, alpha and Sharpe ratio (just slightly), it also had the highest standard deviation (volatility), maximum drawdown and beta of all three ETFs.

The annualized return (approximately) equals the average return minus one - half of the standard deviation squared (or one - half of the variance).

For even more perspective, the Credit Suisse Global Investment Returns Yearbook 2014 reports that the return of US stocks had an annualized standard deviation of about 20 % from 1928 through 2013.

Since the Fund's launch in 1989, investors have doubled their money every 10 years, no matter when they bought the fund... The fund has outperformed global equities with 1/3 less risk [based on annualized standard deviation of monthly returns for Institutional shares from 2/28/89 to 12/31/13, compared to the FTSE World Index].

The chart shows that the annualized standard deviation of the least popular quartile was 20.18 %; the most popular quartile, by comparison, actually had a much higher annualized standard deviation of 28.35 % — suggesting that this measure of unpopularity actually gives higher returns with less risk.

Over the seven - year period from 2008 to 2014, the annualized return for the 60/40 combination was 7.01 %, with a standard deviation of 13.21 %.

Grouped funds are plotted in terms of 3 year annualized standard deviation versus 3 year compound return

Since its October 2014 inception, AQR Equity Market Neutral Fund I QMNIX has returned 18.6 % annualized with a standard deviation of 7.0 %, for a Sharpe ratio of 2.66.

The fund's volatility, measured as an annualized standard deviation of monthly returns, was about 10 % above that of the reference portfolio.

To investigate, we consider two measures of U.S. stock market volatility: (1) realized volatility, calculated as the standard deviation of daily S&P 500 Index return over the last 21 trading days (annualized); and, (2) implied volatility as measured by the Chicago Board Options Exchange Market Volatility Index (VIX).

Calculated by annualizing the standard deviation of the fund's daily returns over the 1 - year period ended as of the date of the calculation.

For reference, in the same time frame a portfolio consisting of just the SPY would have an annualized return of 8.52 % with a standard deviation of 14.25 %, Sharpe ratio of 0.55 and maximum drawdown of 50.8 %.

The volatility of the reference portfolio, measured as the annualized standard deviation of monthly returns, was slightly higher than that of the fund.

Stocks were then ranked based on their 1 year sharpe ratio, or the annualized return of a stock divided by its annualized standard deviation of the weekly returns.

According to the useful Claymore Portfolio Index Allocator, the Claymore ETF portfolio would have returned an annualized 6.68 % in the time period 2003 - 11 with a standard deviation of 10.02 %.

Over the same analysis interval, the fund had a total cumulative return of about 130 % (annualized 9.2 %), with a standard deviation of 15.1 %, Sharpe ratio of 0.58, and maximum drawdown of 44 %.

Mean return represents the annualized average return of a portfolio from which the standard deviation is calculated.

To show a relationship between excess return and risk, this number is then divided by the standard deviation of the portfolio's annualized excess returns.

The percentage spread (standard deviation) of the annualized return of stocks falls faster than 1 / (the square root of N), where N is the number of years.

Since 1927, the index has earned an annualized return of 10 % with an annualized standard deviation of 20 %.

For the same time period, the S&P 500 returned 11.1 percent per year with an annualized standard deviation of 15.07 percent.

Based on your allocation and the data it extracts from Yahoo Finance it is able to provide you with the actual projected annualized rate of return, standard deviation, beta, yield and it calculates the assets correlations to tell you the level of diversification.

The diversified portfolio returned 9.6 percent per year with an annualized standard deviation of 14.6 percent, while the S&P 500 returned 9.4 percent per year with an annualized standard deviation of 15.6 percent.

From 1970 through 2007, a portfolio of 60 percent S&P 500 Index and 40 percent MSCI EAFE returned 11.3 percent per year with an annualized standard deviation of 13.75 percent.

For example, the article includes supplemental information on standard deviations and overall annualized returns even though data reduction forced the use of averages.

For example, the article included supplemental information on standard deviations and overall annualized returns when data reduction forced the use of averages.

If the original 4 equity indexes from 1928 (IFA US Large Company Index; IFA US Large Cap Value Index; IFA US Small Cap Index; IFA US Small Cap Value Index) are held constant until December 2012, the annualized rate of return of this simplified version of IFA Index Portfolio 100 is 10.67 %, after the deduction of a 0.9 % IFA advisory fee and a standard deviation of 23.59 %.

The evolving IFA Indexes over the same period have a 10.99 % annualized return for IFA Index Portfolio 100 after the same IFA advisory fees and a standard deviation of 22.66 %.

And over those 40 years, the GTAA delivered an annualized return of 10.48 % with a standard deviation of 6.99 %, compared with a 9.92 % return and higher volatility (10.28 %) for a buy - and - hold strategy using the same five asset classes (US and foreign stocks, bonds, real estate and commodities).

The TSX Composite annualized returns had a standard deviation (a measure of riskiness of stocks) of 19.53 % in the 2003 to 2012 period.

Over this period, the fund generated an annualized excess return of 0.82 % with an annualized standard deviation of 4.35 %.

The fund's standard deviation, a measure of annualized volatility of returns, was slightly above that o the reference portfolio.

All we can do is statistically analyze the data we have to make a prediction of the expected annualized return in the future and the standard deviation around that return (aka the risk).

At about 15 %, the fund's volatility, measured by an annualized standard deviation of monthly returns in the entire analysis period, was slightly lower than that of the overall stock market.