Sentences with phrase «by the standard deviation»

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

«As measured by standard deviation, the iShares Gold Trust, an ETF that owns physical gold, has been more volatile than the Standard & Poor's 500 index.»

For each decile, we've subtracted the 1986 - 2016 average price / revenue ratio for that decile, dividing the result by the standard deviation of valuations in that decile (again from 1986 - 2016).

They normalize an interval return by subtracting the average return for all such intervals in the sample period and then dividing by their standard deviation.

It compares the return above the risk - free rate earned as compared to the corresponding risk assumed by the portfolio, as measured by standard deviation.

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.

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.

First up are the teams which spur the most disagreement between voters as measured by standard deviation.

First up are the teams which spur the most and least disagreement between voters as measured by standard deviation.

Assuming that pupils who are not allergic to pollen are also not affected by the pollen count, the results show that one in ten pupils with hay fever dropped one grade when the pollen count increased by a standard deviation.

Variability in mood was measured by the standard deviation of these daily mood scores across each condition.

They scale the gain in black students» scores by the standard deviation of test scores computed for a select sample of students, and observe that the gain in their scores due to attending private school is «roughly one - third of the test - score gap between blacks and whites nationwide.»

Cohen's d is defined as the difference between two means divided by a standard deviation of the pooled groups or of the control group alone.

The effect size of this difference is.81 and was computed by subtracting the mean of the comparison group from the mean of the experimental group and dividing by the standard deviation of the comparison group (Cohen 1977).

Risk is measured by the standard deviation.

The risk of this combination, I should add, was lower (measured by standard deviation) than that of either U.S. or international small - cap blend stocks by themselves.

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.

Volatility is measured by standard deviation, which indicates how much a portfolio's returns vary from year to year.

By using risk - adjusted yield — computed as 12 - month trailing yield divided by the standard deviation of yield — the higher weight is placed on securities with more stable yields.

Although statisticians like to measure risk by standard deviation, I don't think this is a very relevant guide to the way human beings actually experience risk.

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

A classic 1968 paper by professors J.L. Evans and S.H. Archer, for example, concluded that a portfolio of 10 randomly chosen stocks would have similar risk, as measured by standard deviation, to the market as a whole.

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.

Furthermore, the volatility of the dividend - growing stocks, as measured by their standard deviation, was 13 % versus the non-dividend-paying stocks was 23 %.

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

However, annualized risk, as measured by standard deviation calculated based on monthly total return for the same period stood at 15.25 %.

Volatility (measured by standard deviation) is now my only missing variable, so I calculate it using the following formula:

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.

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.

This is a very interesting variation for aggressive investors who want to seek even higher returns without much additional risk, (at least as measured by standard deviation.

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 authors also sorted each quartile of popularity into sub-quartiles by standard deviation to look at overall volatility.

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.

* To arrive at that number, I simply divided the monthly standard deviation for the 70/30 portfolio by the standard deviation for the 100 % stock portfolio.

As measured by standard deviation, the iShares Gold Trust, an ETF that owns physical gold, has been more volatile than the Standard & Poor's 500 index.

[The fund's managers] earned customers an average of 6.8 % a year over the past decade, better than 98 % of their fund's Morningstar peers — and with roughly 25 % less risk, as measured by standard deviation.

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.

Additionally, value stocks have been more volatile over time, as measured by standard deviation.

* Volatility (measured by standard deviation) for MARKIT CDX.NA.HY 5 - year TOTAL RETURN INDEX, a benchmark for the high yield CDS market, has from its 2007 inception through June 30, 2014 ranged from 6 % to 14 % compared to 4 % to 16 % for the Barclays U.S. Corporate High Yield Index and 11 % to 46 % for the S&P 500 ®.

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.

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

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.

But the real impact is in the risk reduction we see in the form of much lower volatility as measured by standard deviation at 9.48 percent.

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.

Also, despite lower volatility (measured by the standard deviation) the RealBeta ™ of the fund was higher than that over the broader evaluation period.

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 measured.