Sentences with phrase «average excess returns»

These investors have known value investing to deliver and average excess return of 1.1 % a year, about half the annualized excess return generated by stocks over bonds.
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.
However, this shareholder yield backtest did not exhibit a smooth increase in average excess returns from the 1st quintile to the 5th quintile.
In contrast, the 5th quintile outperformed the benchmark 75 % of the time and produced average excess return of 5.63 %.
If one applies 1.6 - to - 1 leverage to the market, that would magnify the market's average excess return to be about 10 %, still falling far short of Berkshire's 19 % average excess return.
The average excess returns bounced from negative to positive and back to negative between the 1st and 5th quintiles.
The average excess returns versus the S&P 500 equal weight benchmark were a negative 1.79 %.
The average excess return shown by the red numbers under each bar are negative (meaning you would have received greater return by investing in the index instead) in almost all cases as well.
* Average excess returns were analyzed starting in each month with 12 - month holding periods (197 sample periods).
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 %).
The average excess return for the fifth quintile is 1.4 % higher than the fourth quintile.
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 second through fifth quintiles have higher than average annual excess returns and the average excess returns increase slowly until you get to the fifth quintile.
In the MFO rating system, DSDEV indicates the typical percentage decline below its average excess return a fund has experienced in a year's time.
This is a bit different than the results we saw for the average excess returns for the 5 - year average ROE.
In the chart below he compares the average excess returns for the best and worst performing 10 percent of stocks in three different market capitalization ranges — large, small and micro — over the last 50 years.
To further isolate the impact of interest rate movements, monthly hit rates and average excess returns were calculated.
The S&P 500 Low Volatility Index underperformed the S&P 500 in 9 of the 10 periods, with an average excess return of -8.92 % and median excess return of -5.44 %.
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!
First, can the global factors explain the average excess returns associated with the regional portfolios of Table 1?
The results of the quarterly tests are used to calculate the average excess returns for each quintile.
These include your typical compound annual growth rate, average excess returns, and the percent of periods outperforming.
The average excess return (net of the risk - free rate) of a US 60/40 portfolio is a relatively low 1.4 % compared to 24.2 % for the S&P GSCI over the period January 1999 — June 2016.
Nine of the 15 strategy correlations of our six smart betas in the United States are near zero or negative, with an average excess return cross-correlation of 0.02.
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