Sentences with phrase «by standard deviation of returns»

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

Bonds typically have much lower volatility (measured by the standard deviation of their returns) than stocks, which make them suitable for the more risk - averse investors.

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.

It doesn't matter if you measure risk by standard deviation of returns, beta, or credit rating (with junk bonds).

A measure that indicates the average return minus the risk - free return divided by the standard deviation of return on an investment.

Not exact matches

Timmer: You know, the last two years until the January high, were really extraordinary times for the market, and I fear that investors got spoiled by that, because the S&P was up I think 52 % in two years and in 2017 the volatility — the standard deviation of those returns — was at an all - time low of 3.9.

Volatility represented by annualized standard deviation of monthly returns for Institutional shares, all other share classes will vary, from first month - end after inception (2/28/89).

It is calculated by taking a fund's excess return over that of the three - month Treasury bill divided by its standard deviation.

The following chart summarizes average (equally weighted) sector returns and standard deviations of average sector returns by calendar month over the available sample period.

Shifting 40 % of the portfolio into bonds reduced portfolio standard deviation from 16.57 % to 11.49 %.4 Portfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % and +33 %.

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.

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).

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.

Different versions of risk are usually measured by calculating the standard deviation of the historical returns or average returns of a specific investment.

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

The world - wide portfolio more than doubles the 40 - year return of the S&P 500 at less risk when measured by standard deviation and the worst five - year period.

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.

Risk, when measured by standard deviation, is minimized with a 50 % allocation to the DRS.. The Sharpe ratio, which is the most commonly used measure of risk / return trade - off, is maximized at around a 70 % allocation to the DRS.

Yet that additional 1 % of return was accompanied by nearly twice the risk, a standard deviation of 14.99 % and a peak to trough loss (Max DD) of more than 50 %.

Another way to look at the results of the AAII screens is to calculate compound annual returns divided by standard deviation for each series of results from 1998 to 2012.

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 %.

The chart shows that the annualized standard deviation of the least popular quartile was 20.18 %; the most popular quartile, by comparison, actually had a much higher annualized standard deviation of 28.35 % — suggesting that this measure of unpopularity actually gives higher returns with less risk.

Volatility is measured by the standard deviation of five years of weekly total returns in local currency.

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

Shifting 40 % of the portfolio into bonds reduced portfolio standard deviation from 16.57 % to 11.49 %.4 Portfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % and +33 %.

Additionally, these impressive Sharpe ratios come with low risk when measured by other means than standard deviation of returns.

The calculated performance number can be volatility adjusted, in which case the model adjusts the asset return performance by calculating the average daily return over the timing period divided by the standard deviation of daily total returns over the volatility window period.

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).

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.

For example, given that the price return of a bond is determined by the bond's duration and yield change, a bond portfolio constructed using the volatility measure of standard deviation of price return could be biased toward bonds with short duration.

Stocks were then ranked based on their 1 year sharpe ratio, or the annualized return of a stock divided by its annualized standard deviation of the weekly returns.

By definition, approximately 68 % of the time, the total return is expected to differ from its mean total return by no more than plus or minus the standard deviation figurBy definition, approximately 68 % of the time, the total return is expected to differ from its mean total return by no more than plus or minus the standard deviation figurby no more than plus or minus the standard deviation figure.

To show a relationship between excess return and risk, this number is then divided by the standard deviation of the portfolio's annualized excess returns.

It is calculated by subtracting the risk - free rate from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns.

The volatility of a pair is measured by calculating the standard deviation of its returns.

The Sharpe ratio is calculated for a time series by dividing the mean period return (daily, monthly, yearly), in excess of the risk free rate, by the standard deviation of such returns.

Standard Deviation (StdDev (x)-RRB- Now that we have calculated the excess return from subtracting the risk - free rate of return from the return of the risky asset, we need to divide this by the standard deviation of the risky asset being mStandard Deviation (StdDev (x)-RRB- Now that we have calculated the excess return from subtracting the risk - free rate of return from the return of the risky asset, we need to divide this by the standard deviation of the risky asset being Deviation (StdDev (x)-RRB- Now that we have calculated the excess return from subtracting the risk - free rate of return from the return of the risky asset, we need to divide this by the standard deviation of the risky asset being mstandard deviation of the risky asset being deviation of the risky asset being measured.

It is calculated by taking a fund's excess return over that of the three - month Treasury bill divided by its standard deviation.

At about 15 %, the fund's volatility, measured by an annualized standard deviation of monthly returns in the entire analysis period, was slightly lower than that of the overall stock market.

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.