Sentences with phrase «by the standard deviation of»

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).

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.

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).

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).

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.

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

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

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.

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

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.

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.

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 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.

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

Empirical modeling is actually fitting of analytical functions to selected database, as the accuracy is assessed by standard deviation of the models from the data.

To avoid these two artificial parameters, as a final step we have standardized the quantities by subtracting the mean and dividing by the standard deviation of each series shown, for the whole period 1909 - 2003.»

All series were standardized by subtracting the mean and dividing by the standard deviation of each series shown for the period 1971 - 2000.»

Not exact matches

At Google, an audit of their pay practices by the Department of Labor found «systemic compensation disparities against women pretty much across the entire workforce,» showing, one official has said, six to seven standard deviations between pay for men and women in nearly every job category.

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.

The meta - analysis, published online today in the Proceedings of the National Academy of Sciences, concluded that teaching approaches that turned students into active participants rather than passive listeners reduced failure rates and boosted scores on exams by almost one - half a standard deviation.

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.

If we take a look at the numbers another way, by price to sales, the average 2017 forward ratio is around 5.95 with a standard deviation of around 3.5.

But the standard deviation drops as well by an average of 110 basis points.

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 width or «standard deviation» of the bell is determined by expected market volatility.

He noted that the daily standard deviation of Bitcoin was ten times that of sterling over the last five years and the average volatility of the top ten cryptocurrencies by market capitalisation was more than 25 times that of the US equities market last year.

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.

Divide the current month average standard deviation by the 12 - month average of averages to get a lookback interval factor.

These upper and lower bands are set above and below the moving average by a certain number of standard deviations of price, thus incorporating volatility.

Despite the fact that infants breastfed by mothers who took fluoxetine demonstrated less robust weight gain than the comparison group, it is reassuring that there was no significant excess of infants with weight measurements > 2 standard deviations below the mean.

The statistics reveal that the average British bank robbery is committed by 1.6 thieves and nets $ 31,900 per heist, with a standard deviation of $ 84,000.

Similarly, if replacing the lowest - ranked school in the survey with a top - quintile school, student test scores would improve by 0.39 of a standard deviation using a conventional VAM, and 0.53 of a standard deviation when using the MIT team's own VAM method.

Insulin resistance increased by 17 % for every 10.6 µg / m3 (2 standard deviations [SDs] from the mean) increase in ambient nitrogen dioxide (NO2) and 19 % for every 6 µg / m3 (2 SDs) increase in particulate matter of up to 10 μm in diameter.

Every standard deviation increase in the inflammation score was also associated with a hippocampus volume that was 110 cubic millimeters smaller and the volume of other areas affected by Alzheimer's disease was 532 cubic millimeters smaller.

GS showed genome - wide significant slope decrease by — 3.86 (95 % CI: — 4.64 to — 3.07, p < 2 × 10 — 16) per standard deviation of the GS for 6 SNPs mapping to genes involved in neuronal development and signaling, axonal myelinization, and glutamatergic / GABA neurotransmission.

2010 & 2011 were cold in these regions even by 1951 - 1980 standards (the baseline), but because they mostly fall within minus one standard deviation (see figure 3), it was a level of cold that occurred reasonably often back then.

Haldanes were calculated as h =[ (ln (x2) / sln x2) − (ln (x1) / sln x2)-RSB- / g, where ln (x1) and ln (x2) are the ln - transformed sample means of head length at the beginning and the end of the study period, respectively, sln x1 and sln x2 are the pooled standard deviations of ln (x1) and ln (x2), respectively, and g is the number of generations between the beginning and the end of the study period (years divided by generation length).

Association of Genetically - Elevated Waist - to - Hip Ratio Adjusted for Body Mass Index (One Standard Deviation Increase) With Type 2 Diabetes and Coronary Heart Disease, Overall and by Quintile of WHRadjBMI

Note: The mean and standard deviation for shortest acceptable, tallest acceptable, and ideal height and sexual dimorphism (SDR) in a dating partner are Radiocarbon dating (also referred to as carbon dating or carbon - 14 dating) is a method for determining the age of an object containing organic material by

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