Sentences with phrase «average excess return for»

I thought the 5th quintile would also result in lower average excess return for price to tangible book value given that it outperformed in the 1st quintile.

The average excess return for the fifth quintile is 1.4 % higher than the fourth quintile.

This is a bit different than the results we saw for the average excess returns for the 5 - year average ROE.

The results of the quarterly tests are used to calculate the average excess returns for each quintile.

Not exact matches

I was CFO of a successful software company that had to show average returns of more than 25 percent of revenue to the bottom line after taxes, growth of more than 50 percent per year for five years and an excess of $ 20 million in annual revenue before the bank would release the owner's personal guarantees.

They consider average excess (relative to short - term interest rate) return and Sharpe ratio as key metrics for rule selection and performance measurement.

For all asset classes (but focusing on currencies), they define bad market conditions as months when the excess return on the broad value - weighted U.S. stock market is less than 1.0 standard deviation below its sample period average.

While studies show that mergers and acquisitions as a group are value neutral or negative for shareholders (on average the selling company gets all the excess returns), The Outsiders explored how some management teams focused on driving shareholder value with their M&A rather than simply using it as a mechanism to get bigger, have shown extraordinary success.

Table 1 shows the excess returns for a number of valuation metrics within the U.S. Large Stocks universe, stocks trading in the U.S. with a market capitalization greater than average from 1964 to 2015.

«Buying a company below its historic average or intrinsic value (as that is how low quality businesses will often be valued when they are close to the nadir of their capital cycle) is a good starting point for any investment and has a track record of producing excess long - term returns» Marathon Asset Management

Here is the formula used: Sortino is same as Sharpe except its denominator is the annualized downside deviation, which only uses monthly returns falling below TBill average, as shown here: Finally, Martin, which uses same numerator as Sharpe and Sortino, excess return relative to TBill, but it uses the Ulcer Index (UI) for the denominator, which is the square root of the mean of the squared percentage draw downs in value.

Moreover, the average excess returns from 2001 to 2011 for the top quintile for price to tangible book value (5.23 %) exceed that of the price - to - book ratio (4.89 %).

However, the P / B ratio had average excess returns of -3.84 % from 2001 to 2011 versus -3.62 % for the price to tangible book value ratio.

The result has been a negative up market capture ratio of -109.7, meaning for every 1 % rise in inflation, the S&P GSCI Crude Oil Excess Return actually fell by 1.1 % on average in the past 10 years.

Average monthly excess returns for July are higher than any other month, and this is found to be statistically significant (see Exhibit 1).

Each percentage point of unemployment rate translates into 78 basis points (bps) of stock market excess return compared to cash for each year, on average, of the subsequent two years; in other words, each 1 % jump in unemployment is associated with 1.56 % of incremental stock market return over the two - year period.

They estimate premiums for these two risk measures as the difference in average (arithmetic mean) returns between the riskiest and least risky quintiles in excess of the Treasury bill (T - bill) yield.

From 1962 to 2015, the «true» average excess return — which excludes the impact of valuations on the returns of stocks and adjusts for the return impact of interest rate movements on bonds — fell from 2.8 % to 0.8 % on a rolling 15 - year basis.10 The corresponding 15 - year win rate was halved from 82 % to 43 %, odds not even as good as a coin toss!

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 investing.

To minimize biases, they: include live and dead funds; remove the first 18 months of returns for each fund; consider only funds that have at least 36 monthly returns and average assets under management $ 10 million; and, consider only funds that report net monthly excess returns in U.S. dollars.

From 2000 through 2015, the Sound Advice model portfolio has produced an average investment return of 11.1 percent annually, as compared to 2.2 percent annually from the S&P 500 over the same period, for an annual percentage return in excess of 5 times greater than the S&P 500.

His point is just that you don't have to settle for a 5 % adjusted annual return on your savings, you may be able to use your creativity and your expertise in ways that generate a return well in excess of the traditional averages.