Sentences with phrase «as standard deviation of return»

If you believe as we do that risk can not be adequately explained by a single number such as standard deviation of return, but is rather the potential for the respective portfolios to face future capital impairment, it becomes important to compare the fundamental character of the manager's portfolio to that of the benchmark.

The theory is that, using relationships between risk and return such as alpha and beta, and defining risk as the standard deviation of return, an «efficient frontier» for investing can be identified and exploited for maximum gain at a given amount of risk.

Ideally, investors want to take three factors into account in portfolio construction: the expected return for each asset, the expected risk (normally expressed as the standard deviations of return) and the co-movement of each asset.

The above historical performance figures from Morningstar indicate that the fund had a higher volatility (expressed as a standard deviation of returns) and underperformed the S&P 500 ® index, its best - fit benchmark, on a risk - adjusted basis (Sharpe Ratio) in both the three - and five - year trailing periods.

Metrics such as the standard deviation of returns and value at risk are more absolute - risk measures, while beta and the Sharpe ratio give a sense of risk / return versus a given benchmark.

Ideally, investors want to take three factors into account in portfolio construction: the expected return for each asset, the expected risk (normally expressed as the standard deviations of return) and the co-movement of each asset.

Not exact matches

Volatility profiles based on trailing - three - year calculations of the standard deviation of service investment returns as of February 28, 2017.

As long as the returns of the assets within the portfolio are not perfectly correlated, the standard deviation of the portfolio must be less than the average standard deviation of the assetAs long as the returns of the assets within the portfolio are not perfectly correlated, the standard deviation of the portfolio must be less than the average standard deviation of the assetas the returns of the assets within the portfolio are not perfectly correlated, the standard deviation of the portfolio must be less than the average standard deviation of the assets.

The Sharpe ratio is calculated by subtracting the risk - free rate - such as that of the 3 - month U.S. Treasury Bill - from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns.

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.

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.

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.

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).

I also have had a lower amount of volatility (as measured by standard deviation of day - over-day returns) then my benchmark index (the S&P / TSX Composite Index).

Its cumulative return was lower and the volatility (measured as a standard deviation of monthly returns) higher than those of its reference ETF portfolio.

The efficient frontier is a curve which represents all the points where for a given level of risk (as measured by standard deviation) of a portfolio you are achieving the optimal rate of return.

That's because the standard deviation of returns changes over time, as does the correlation between asset classes.

The fund's volatility, measured as a standard deviation of monthly returns, was comparable to that of the reference ETF portfolio.

The following chart shows rolling volatility (measured as a standard deviation of two years of monthly returns) and accompanying statistics for the portfolio:

It beat its Russell 2000 ® index benchmark in one -, three -, five - and ten - year periods as well as since inception through 2013, at a comparable risk level measured by a standard deviation of returns.

If one compares the market timer's return to that of a portfolio of stocks and cash weighted to have the same standard deviation as the market timer's portfolio, the result is that the market timer must be correct 74 % of the time in order to perform better than the passive portfolio of the same risk.

During the 1978 - 2017 time frame, the S&P 500 Index returned 11.81 % with a risk factor of 15.20 %, as measured by standard deviation, whereas the Barclays Bond Index returned 6.99 % with a standard deviation of only 4.19 %.

This often serves as the benchmark in most portfolio discussions and has been around for ages as the go - to portfolio.The average rate of return on this portfolio since 1972 has been of 5.8 % with a low standard of deviation of 11.6 %.

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

Tracking error is reported as a standard deviation percentage difference, which reports the difference between the return an investor receives and that of the benchmark he was attempting to imitate.

* As measured by the Standard Deviation (volatility) of our monthly returns versus the TSX Composite.

For implied volatility it is okey to use Black and scholes but what to do with the historical volatility which carry the effect of past prices as a predictor of future prices.And then precisely the conditional historical volatility.i suggest that you must go with the process like, for stock returns 1) first download stock prices into excel sheet 2) take the natural log of (P1 / po) 3) calculate average of the sample 4) calculate square of (X-Xbar) 5) take square root of this and you will get the standard deviation of your required data.

Since the standard deviation of returns is commonly used as a measure of portfolio risk, a High volatility measurement indicates that holding the motif in the past subjected the holder to higher fluctuations.

However, the fund's volatility (measured as standard deviation of monthly returns) was higher than that of the reference ETF portfolio.

The Pain Ratio - A Better Risk / Return Measure Download PDF Pain Ratio vs. Standard Deviation In a previous post, we discussed the pain index as a better measure of risk.

The fund subtracted value compared to its reference ETF portfolio that had a similar volatility, measured as the standard deviation of monthly returns.

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).

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.

For both, we calculate VoV as the standard deviation of volatility over the past 21 trading days and test the ability of VoV to predict SPDR S&P 500 (SPY) returns.

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.

Tracking error Tracking error is defined as the standard deviation of the difference between the fund's returns and the returns on the index.

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

Risk adjusted returns would favor municipal bonds as equities have done it the hard way with a standard deviation (a measure of volatility) of over 2.6 % while munis have seen a standard deviation of under 1 %.

Low Volatility: This is the ultimate risk measurement as gauged by the standard deviation of returns.

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).

Volatility profiles based on trailing - three - year calculations of the standard deviation of service investment returns as of February 28, 2017.

As per data of the past 3 years, the fund's standard deviation, i.e., the volatility of the returns of the fund vis - à - vis its average, is 13.43 % as of 31st July 201As per data of the past 3 years, the fund's standard deviation, i.e., the volatility of the returns of the fund vis - à - vis its average, is 13.43 % as of 31st July 201as of 31st July 2017.

As per data of the past 3 years, the fund's standard deviation, i.e., the volatility of the returns of the fund vis - à - vis its average, is 10.72 % as of 31st May 201As per data of the past 3 years, the fund's standard deviation, i.e., the volatility of the returns of the fund vis - à - vis its average, is 10.72 % as of 31st May 201as of 31st May 2017.

When talking about «low volatility products,» Yasenchak is referring to portfolios that «specifically seek benchmark - like returns, over the full market cycle, with a total volatility, measured as the standard deviation, falling considerably below that of the index.»

Risk: The variability of returns, often expressed as Standard Deviation, associated with a given asset.

Risk means trying to avoid loss on every name in my portfolio, not avoiding loss on the portfolio as a whole, and certainly not standard deviation of returns, or even worse, beta.

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.