Sentences with phrase «deviation over the return»

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Standard deviation does not indicate how an investment actually performed, but it does indicate the volatility of its returns over time.

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

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

The reason why valuations are so tightly correlated with 10 - 12 year returns is that extreme deviations from historical norms tend to wash out over that horizon, and because interest rate fluctuations have a much less durable impact on market valuations than investors imagine.

Annual standard deviation of return for the fund calculated over a three - year period.

In contrast, the largest positive deviations (where the actual S&P 500 total return over the preceding 10 - year period exceeded projections) were in August 1987, January 1999, February 2007, and today.

Over the last 12 months, the standard deviation of daily bitcoin returns in U.S. dollars is a little over Over the last 12 months, the standard deviation of daily bitcoin returns in U.S. dollars is a little over over 6 %.

To investigate, we consider a simple VRP specification: S&P 500 Implied Volatility Index (VIX) minus standard deviation of daily S&P 500 Index returns over the past 21 trading days.

It turns out that these deviations themselves have been strikingly informative about market returns over the subsequent decade — the greater the deviation, the more the market corrects in the opposite direction.

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

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.

Calculate the average of the standard deviations of daily returns over the last 60 trading days for the individual risky assets (all except Cash).

Over the entire sample period, the average daily / weekly / monthly returns of the world stock index are higher than those of gold, and gold returns have higher standard deviations than stock returns.

We see pretty dramatic returns to experience on the order of 15 - 20 percent of a standard deviation on test scores over the first five years.

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).

That's because the standard deviation of returns changes over time, as does the correlation between asset classes.

The formula for HV is standard deviation of daily returns over the last 100 days times the square root of 252 times 100.

In a 2004 paper, Ibbotson Associates analyzed the returns and standard deviation of BXM over a 16 year period between 1988 and 2004.

The fund added a miniscule amount of value over the static reference portfolio but did so at the expense of slightly higher volatility (standard deviation of returns).

Over the seven - year period from 2008 to 2014, the annualized return for the 60/40 combination was 7.01 %, with a standard deviation of 13.21 %.

To investigate, we consider a simple VRP specification: S&P 500 Implied Volatility Index (VIX) minus standard deviation of daily S&P 500 Index returns over the past 21 trading days.

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

Standard deviation does not indicate how an investment actually performed, but it does indicate the volatility of its returns over time.

Dear Saikat, Equity funds will have Sideways movements, but the point is funds which can give better Returns with low Standard Deviation over a long period of time can be the best ones to invest.

Over the past 20 years, a 100 % stock portfolio has returned 8.6 % CAGR with a standard deviation of over 1Over the past 20 years, a 100 % stock portfolio has returned 8.6 % CAGR with a standard deviation of over 1over 19 %.

Midcap value should beat the market over time, and clients that use me should be prepared for periods of adverse deviation, en route to better returns over the long haul.

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.

In contrast, the standard deviation of dividend returns was just 0.47 % over the 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).

For both, we calculate VoV as the standard deviation of volatility over the past 21 trading days and test the ability of VoV to predict SPDR S&P 500 (SPY) returns.

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.

The standard deviation of the S&P 500's annual return over the past 50 years is 17 %.

The reasonable range is calculated as + / - 1 standard deviation from the calculated benchmark using 10 year monthly rolling average returns over the 10 years to Oct» 15.

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 %.

Over the same analysis interval, the fund had a total cumulative return of about 130 % (annualized 9.2 %), with a standard deviation of 15.1 %, Sharpe ratio of 0.58, and maximum drawdown of 44 %.

Standard deviation measures how widely dispersed a fund's returns have been over a specified period of time.

• Will display portfolio statistics like correlation coefficients, average / median / minimum / maximum rates of return over the selected time frame, along with standard deviation of monthly returns, Beta, Alpha (Jensen), R - squared, Treynor Ratio, and Sharpe Ratio, and all of that.

The other strategies underperformed to the extent that they remained out of the market: The strategy that kicked into cash at the mean returned 13.4 percent yearly, the strategy that kicked into cash at one standard deviation above the mean returned 18.15 percent yearly, and the strategy that kicked into cash at two standard deviations above the mean returned 19.36 percent compound over the full period.

The Standard Deviation describes the average deviation of the portfolio returns from the mean portfolio return over a certain periodDeviation describes the average deviation of the portfolio returns from the mean portfolio return over a certain perioddeviation of the portfolio returns from the mean portfolio return over a certain period of time.

The percent swing in annual returns is much lower (only a 5.6 % amount for one standard deviation), but you stand to earn a whole lot less over time by investing in these much more conservative instruments (only 5.3 % annually).

When talking about «low volatility products,» Yasenchak is referring to portfolios that «specifically seek benchmark - like returns, over the full market cycle, with a total volatility, measured as the standard deviation, falling considerably below that of the index.»

• Average / Median / Minimum / Maximum rates of return and standard deviation over the selected time frame.

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.

Higher standard deviation numbers mean that the annual return for an investment is hard to predict and could bounce all over the place.

• Average, median, minimum, maximum rates of return over the selected time frame, along with the standard deviation of monthly returns.

Over half the returns of the lottery method fall within the standard deviation in the range of $ 2,856 to $ 4,827 (11.06 % to 17.05 %).

With an average rate of return since 1972 of 5.8 % and a low standard of deviation of 11.6 %, this portfolio has been a stable winner over the past decades.

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.

Instead, it demonstrates the value of a small cap and value tilt in global equity markets, since over the same period a Simulated S&P 500 Index only had a return of 9.53 % (with no fees deducted), at a standard deviation of 19.19 %.