Sentences with phrase «average monthly return relatives»

Each year, average monthly return relatives from equally weighted portfolios were compounded over the twelve monthly periods, then 1 was subtracted from the resulting value to obtain the average annualized return for the portfolio.

The fund had the highest average monthly return relative to peers in months when equities sold off.

Not exact matches

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.