Sentences with phrase «as standard deviation of monthly returns»
The fund subtracted value compared to its reference ETF portfolio that had a similar volatility, measured as the standard deviation of monthly returns.
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However, the fund's volatility (measured as standard deviation of monthly returns) was higher than that of the reference ETF portfolio.
The volatility of the reference portfolio, measured as the standard deviation of monthly returns, was slightly below that of the fund.
The fund's volatility, measured as a standard deviation of monthly returns, was comparable to that of the reference ETF portfolio.
Its cumulative return was lower and the volatility (measured as a standard deviation of monthly returns) higher than those of its reference ETF portfolio.
Similarly to its predecessors, the fund failed to outperform its reference ETF portfolio which had a slightly smaller volatility, measured as the standard deviation of monthly returns.
Not exact matches
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.
The following chart shows rolling volatility (measured as a standard deviation of two years of monthly returns) and accompanying statistics for the portfolio:
* As measured by the Standard Deviation (volatility) of our monthly returns versus the TSX Composite.
The fund's volatility, measured as an annualized standard deviation of monthly returns, was about 10 % above that of the reference portfolio.
She defines idiosyncratic volatility as the standard deviation of daily residuals from monthly regressions of returns (in excess of the risk - free rate) for each stock versus Fama - French model factors.
The volatility of the reference portfolio, measured as the annualized standard deviation of monthly returns, was slightly higher than that of the fund.
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.