Sentences with phrase «asset return volatilities»

Monthly risk parity weights derive from actual daily asset return volatilities and correlations over the past 90 trading days.

Monthly inverse volatility weights derive from actual daily asset return volatilities over the past 90 trading days.

Not exact matches

LONDON, April 20 - British emerging markets - focused hedge fund Onslow Capital Management has closed after a long period of low volatility hit returns and assets fell below a sustainable level, it said in a letter to investors.

In recent years they have added international equities and small - cap stocks — asset classes that come with higher volatility than sturdier blue chips, but also offer the promise of higher returns.

They can use options to potentially optimize returns on capital, for example, and to help protect their assets from volatility that has become commonplace in the global economy.

Actual results, including with respect to our targets and prospects, could differ materially due to a number of factors, including the risk that we may not obtain sufficient orders to achieve our targeted revenues; price competition in key markets; the risk that we or our channel partners are not able to develop and expand customer bases and accurately anticipate demand from end customers, which can result in increased inventory and reduced orders as we experience wide fluctuations in supply and demand; the risk that our commercial Lighting Products results will continue to suffer if new issues arise regarding issues related to product quality for this business; the risk that we may experience production difficulties that preclude us from shipping sufficient quantities to meet customer orders or that result in higher production costs and lower margins; our ability to lower costs; the risk that our results will suffer if we are unable to balance fluctuations in customer demand and capacity, including bringing on additional capacity on a timely basis to meet customer demand; the risk that longer manufacturing lead times may cause customers to fulfill their orders with a competitor's products instead; the risk that the economic and political uncertainty caused by the proposed tariffs by the United States on Chinese goods, and any corresponding Chinese tariffs in response, may negatively impact demand for our products; product mix; risks associated with the ramp - up of production of our new products, and our entry into new business channels different from those in which we have historically operated; the risk that customers do not maintain their favorable perception of our brand and products, resulting in lower demand for our products; the risk that our products fail to perform or fail to meet customer requirements or expectations, resulting in significant additional costs, including costs associated with warranty returns or the potential recall of our products; ongoing uncertainty in global economic conditions, infrastructure development or customer demand that could negatively affect product demand, collectability of receivables and other related matters as consumers and businesses may defer purchases or payments, or default on payments; risks resulting from the concentration of our business among few customers, including the risk that customers may reduce or cancel orders or fail to honor purchase commitments; the risk that we are not able to enter into acceptable contractual arrangements with the significant customers of the acquired Infineon RF Power business or otherwise not fully realize anticipated benefits of the transaction; the risk that retail customers may alter promotional pricing, increase promotion of a competitor's products over our products or reduce their inventory levels, all of which could negatively affect product demand; the risk that our investments may experience periods of significant stock price volatility causing us to recognize fair value losses on our investment; the risk posed by managing an increasingly complex supply chain that has the ability to supply a sufficient quantity of raw materials, subsystems and finished products with the required specifications and quality; the risk we may be required to record a significant charge to earnings if our goodwill or amortizable assets become impaired; risks relating to confidential information theft or misuse, including through cyber-attacks or cyber intrusion; our ability to complete development and commercialization of products under development, such as our pipeline of Wolfspeed products, improved LED chips, LED components, and LED lighting products risks related to our multi-year warranty periods for LED lighting products; risks associated with acquisitions, divestitures, joint ventures or investments generally; the rapid development of new technology and competing products that may impair demand or render our products obsolete; the potential lack of customer acceptance for our products; risks associated with ongoing litigation; and other factors discussed in our filings with the Securities and Exchange Commission (SEC), including our report on Form 10 - K for the fiscal year ended June 25, 2017, and subsequent reports filed with the SEC.

The board has been dealing with the volatility of publicly traded stocks and low returns from government bonds by diversifying into other forms of assets, including equity in private companies and investments in infrastructure such as highways and real estate.

According to WGC research, when real rates are between zero and 4 percent, gold's returns are positive and its volatility and correlation with other mainstream financial assets are below long - run averages.

Asset allocation and diversification may not protect against market risk, loss of principal or volatility of returns.

There is strong reason to expect the S&P 500 to underperform the 2.4 % total return available on Treasury debt over the coming decade, though both asset classes are so richly valued that substantial volatility and interim losses should be expected in both.

For the rest, a better approach may be seeking more modest returns with lower volatility, via a focus on portfolio construction, risk exposures and less traditional asset classes.

As you can see when looking at the other asset allocations, adding more fixed income investments to a portfolio will slightly reduce one's expectations for long - term returns, but may significantly reduce the impact of market volatility.

Longer time horizons mean investors can benefit from higher returns of riskier assets like stocks, while weathering short - term volatility.

As investors allocate money among different assets, they face a complex question: What sort of expected returns are you looking for, and what sort of risk and volatility are you willing to accept in the pursuit of that performance?

We see the overall environment as positive for risk assets, but expect more muted returns and higher volatility than in 2017.

This diversified portfolio, represented above by the orange circle, delivered good returns with a digestible amount of volatility, compared to portfolios that contained only one, two or three asset classes.

Before the end of April, when the market started its gut - wrenching descent, «the combination of return generation and risk diversification was part of a broader virtuous circle for fixed income, which also included significant inflows to the asset class and direct support from central banks,» El - Erian writes at the start of his viewpoint, noting that in addition to delivering solid returns with lower volatility relative to stocks, the inclusion of fixed income in diversified asset allocations also helped to reduce overall portfolio risk.

In the April 2016 version of their paper entitled «Volatility Managed Portfolios», Alan Moreira and Tyler Muir test the performance of a simple volatility timing approach that lowers (raises) exposure to risky assets when volatility of recent returns for those assets is relatively hVolatility Managed Portfolios», Alan Moreira and Tyler Muir test the performance of a simple volatility timing approach that lowers (raises) exposure to risky assets when volatility of recent returns for those assets is relatively hvolatility timing approach that lowers (raises) exposure to risky assets when volatility of recent returns for those assets is relatively hvolatility of recent returns for those assets is relatively high (low).

In their May 2012 paper entitled «Adaptive Asset Allocation: A Primer», Adam Butler, Michael Philbrick and Rodrigo Gordillo backtest a progression of strategies culminating in an Adaptive Asset Allocation (AAA) strategy that incorporates return predictability from relative momentum (last 120 trading days, about six months), volatility predictability from recent volatility (last 60 trading days) and pairwise correlation predictability from recent correlations (last 250 trading days).

They consider equities (S&P 500 Index), bonds (Markit ITTR110), commodities (S&P GSCI Total Returns Index), currencies (U.S. Dollar Broad Index), gold (COMEX close) and S&P 500 implied volatility (VIX) as conventional asset classes.

For investors, the plot thickens: Across the globe, «returns across asset classes have been unusually high relative to their levels of volatility,» says Morgan Stanley Global Strategist Andrew Sheets.

Correlation relates to the fact that a low volatility environment encourages investors to move into riskier assets to get decent returns on their investments.

Given term premium suppression (via QE) reduced volatility and induced investors to buy risky assets to boost returns, a sustained rise in long - term interest rates would give investors more options to achieve yield targets, thus making risk assets appear less attractive and ultimately erode demands for yield and tighten financial conditions.

We see central banks nearing the limits of extraordinary monetary easing, low returns across most asset classes as well as higher equity and bond volatility amid looming political risks and Federal Reserve (Fed) tightening.

The S&P 500 Dynamic VIX Futures Total Return Index measures the performance of Volatility securities and is selected by a Single Asset process.

If it is viewed as a separate asset class, it is invested in based on the total expected return, volatility and diversification it adds to the total portfolio.

Remember, you're already far better off than the vast majority of investors because you selected an asset allocation with your eyes wide open to its historical returns and volatility, so you can rest easily knowing that you made a well - educated decision.

They examine three measures of return comovement for each asset class: average pairwise correlation, average beta relative to the world market and average idiosyncratic volatility.

Overall, Strategic Total Return presently holds about 14 % of assets in precious metals shares - still a constructive position in light of continued favorable conditions, but restrained enough to accept the possibility of short - term volatility without much worry.

A subscriber, noting an article on slowing down intrinsic (absolute or time series) momentum for SPDR S&P 500 (SPY) when its return volatility is relatively high, suggested doing the same for the Simple Asset Class ETF Momentum Strategy (SACEMS).

In fact, volatility (which we view as an asset to be utilised) is a key component that increases our chances of providing superior returns over time - thus we welcome volatility» Allan Mecham

Among those myths is the notion — oft - repeated by DiNapoli — that public - pension funds are «long - term investors» that can stick with their assumptions through thick and thin, riding out the kind of market volatility that saw the state funds» return on assets veer from a 26 percent loss in 2009 to a 26 percent gain in 2010.

The good news, which I'll demonstrate with historical performance numbers, is that there's an easy way to harness the returns of these three asset classes while limiting their volatility.

A secular bull market in fixed income assets delivered bond investors equity - like returns with little volatility for the better part of three decades.

For the rest, a better approach may be seeking more modest returns with lower volatility, via a focus on portfolio construction, risk exposures and less traditional asset classes.

Diversifying its assets across multiple asset categories, including dividend - paying stocks, bonds and convertible securities, may help reduce the fund's overall portfolio volatility and improve chances of earning more consistent returns over the long term.

My main point is that trying to buy the asset class with the highest return after equalizing volatilities is a fool's bargain.

«Stated differently, there are many academics who would say that buying individual stocks leads to people taking «uncompensated risks», meaning they could likely get a similar return with a lot less volatility if they just diversified more — both within and throughout asset classes.»

Each asset in the portfolio should play a specific role: it should be there to increase the expected return or to lower the volatility.

With the exception of bonds, all of these assets classes showed significant volatility: emerging markets, REITs and real - return bonds in particular.

The theory tells us how to adjust our allocations among a diverse set of asset classes to get the best combination of risk (as measured by the year - to - year volatility) and return.

That higher return has come with higher volatility, but by combining several different asset classes that are at least somewhat uncorrelated, or better yet negatively correlated, a higher return per unit of risk is possible.

While diversification through an asset allocation strategy is a useful technique that can help to manage overall portfolio risk and volatility, there is no certainty or assurance that a diversified portfolio will enhance overall return or outperform one that is not diversified.

While returns are important, knowing an optimal asset mix and having an investment strategy in place will allow one to weather the market's volatility with greater comfort.

Recent market volatility shouldn't be enough to threaten the economic cycle, but does it temper optimism about the return potential of risk assets?

The Sharpe ratio describes how much excess return you are receiving for the extra volatility that you endure for holding a riskier asset.

Alternatively, you could believe that the risk - free rates were correct and that the higher returns you expect on risky assets are appropriate given the volatility you are taking on.

One of the most popular formulas, the capital asset pricing model or CAPM, basically states that as volatility increases, investors should expect larger returns.

The book does an eloquent job describing how the various asset classes work together to reduce volatility and enhance returns.

This reduces risk (volatility) compared to holding one class of assets, but might also hinder potential returns.