Sentences with phrase «deviation measure of risk»

Not exact matches

Portfolio risk is measured using standard deviation, which is a statistical measure of how much a return varies over an extended period of time.

We measure risk using standard deviation, which measures how close together or far apart the annual returns of a portfolio are.

One of the more commonly used risk measures is 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.

Metrics such as the standard deviation of returns and value at risk are more absolute - risk measures, while beta and the Sharpe ratio give a sense of risk / return versus a given benchmark.

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.

Deviation of EPS over 5 years (a risk metric that measures how stable companies earnings have been over the trailing 5 years, lower figures preferred)

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.

Standard deviation or other measures of routine volatility are a dismal gauge of the risk that matters most to real - life investors.

In general this is true, and helps to explain why measures like beta and standard deviation of returns do not measure risk, and are not...

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.

Other statistical measures such as calculation of standard deviation and shape ratios are important to calculate or estimate the risk.

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 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 risk / return trade - off, is maximized at around a 70 % allocation to the DRS.

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 Performance Tables available on this site are representative of a compilation of the selected funds to achieve a probabilistic return for a measured level of risk (standard deviation).

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.

The Performance Table above is representative of a compilation of the selected funds to achieve a probabilistic return for a measured level of risk (standard deviation).

Portfolio risk is measured using standard deviation, which is a statistical measure of how much a return varies over an extended period of time.

(Ratios to measure risk of a mutual fund: A good Mutual Fund ideally should have Low Standard Deviation, High Alpha, Low Beta and High Sharpe Ratio)

Also, the standard deviation for both of the funds are on the lower side.Both these funds have high Alpha (Alpha is a measure of performance on a risk - adjusted basis.

One of the biggest shortcomings in financial models is the reliance on standard deviation (SD) as a measure of risk.

Since the standard deviation of returns is commonly used as a measure of portfolio risk, a High volatility measurement indicates that holding the motif in the past subjected the holder to higher fluctuations.

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

[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 Pain Ratio - A Better Risk / Return Measure Download PDF Pain Ratio vs. Standard Deviation In a previous post, we discussed the pain index as a better measure of rRisk / Return Measure Download PDF Pain Ratio vs. Standard Deviation In a previous post, we discussed the pain index as a better measure oMeasure Download PDF Pain Ratio vs. Standard Deviation In a previous post, we discussed the pain index as a better measure omeasure of riskrisk.

The standard deviation of the portfolio is a measure of portfolio risk.

Standard deviation Standard deviation is still the most widely used measure of dispersion, or in financial markets, risk.

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.

Risk adjusted returns would favor municipal bonds as equities have done it the hard way with a standard deviation (a measure of volatility) of over 2.6 % while munis have seen a standard deviation of under 1 %.

And they do all this without having higher risk, as measured by beta or standard deviation or adverse states of the world.

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.

Standard deviation is a measure of total risk that indicates the degree of variation in the actual returns relative to the average return over the period (three years in our figures); the higher the standard deviation, the greater the total risk.

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 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 of the risky asset being measured.

The square root of variance, or standard deviation, has the same unit form as the data series being analyzed and is such more commonly used to measure risk.

Volatility refers to standard deviation, a statistical measure that captures the variations from the mean of a stock's returns and that is often used to quantify risk over a specific time period.

Your bonds are now down from 100 % of your portfolio to 12 %, and the amount of risk (measured in standard deviation) has increased about three fold.

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

For example, recent advices have related to the proper interpretation and exercise of a lien / cesser of liability clauses, the proper measure of damages, war risks clauses, deviation, deadfreight clauses, package limitiation, «knock for knock» provisions in a towage contract, the meaning and effect of ad hoc provisions in ship - building contracts, the Hague / Hague - Visby Rules, the CMR convention and the Warsaw Convention (as amended).

The Sharpe ratio is a simple, but effective, measure of risk - adjusted return comparing an investment's excess return over the risk - free rate to its standard deviation of returns.