Sentences with phrase «equal weight a portfolio of»

I originally planned to equal weight a portfolio of 20 to 30 cigar butt positions.

The investment objective of Horizons HEE is to provide Unitholders with: (a) exposure to the performance of an equal weighted portfolio of Canadian companies that are involved in the crude oil and natural gas industry; and (b) monthly distributions of dividend and call option income.

The investment objective of Horizons HEA is to provide Unitholders with: (a) exposure to the performance of an equal weighted portfolio of large capitalization U.S. companies; and (b) monthly U.S. dollar distributions of dividend and call option income.

To achieve its investment objective Horizons HEA primarily invests in an equal weighted portfolio of large capitalization U.S. companies.

The investment objective of Horizons HEP is to provide Unitholders with: (a) exposure to the performance of an equal weighted portfolio of North American listed gold mining and exploration companies; and (b) monthly distributions of dividend and call option income.

Not exact matches

As we noted earlier this month when we revealed this year's list, an equal - weighted portfolio of Fortune 500 stocks held since 1980, rebalanced with each new year's list, would have earned twice the return of an investment in broader market indices.

We notice that the equal - weighted portfolio averages a 3.98 % return in January across the 30 years, 3.11 % above the value - weighted portfolio, while there is no dramatic difference for the rest of the year.

The following chart, taken from the paper, depicts the average asset mixes of self - directed and advised investors based on equal weighting of individual portfolios.

If you take them as an equal weighted portfolio, they are priced in about the 80th percentile of the market.

Browne proposed an equal - weight portfolio of stocks, long - term bonds, cash, and gold.

He measures the attractiveness of adding anomaly premiums to the benchmark portfolio by comparing Sharpe ratios, Sortino ratios and performances during recessions of five portfolios: (1) a traditional portfolio (TP) that equally weights equity, term and default premiums; (2) an equal weighting of size, value and momentum premiums (SVM) as a basic anomaly portfolio; (3) a factor portfolio (FP) that equally weights all 10 anomaly premiums; (4) a mixed portfolio (MP) that equally weights all 13 premiums; and, (5) a balanced portfolio (BP) that equally weights TP and FP.

How hard is it to beat equal weighting in constructing a portfolio of attractive common stocks?

We first perform a sensitivity test of fund ranking (lookback) intervals ranging from one to 12 months on the following monthly reformed portfolios: the winner fund (Top 1); an equally weighting of the top two funds (EW top 2); an equally weighting of the Top 3 funds (EW Top 3); and, an equal weighting of all five funds (EW All).

If you were to place an equal weight (20 %) into each of these stocks, you would have a portfolio with a yield of 4.26 %, better than any of the other solutions we've discussed so far.

That means that the best estimate of the return of a randomly - selected portfolio is the return of an equal - weight index.

The portfolio is an equal - weight portfolio of stocks, long - term bonds, cash, and gold.

Unique methodology in an ETF FUT is the only managed futures ETF to use an innovative risk - weighting methodology so that each position contributes an equal amount of estimated risk to the overall portfolio when it rebalances monthly.

Is the only Managed Futures ETF to use an innovative risk - weighting methodology so that each commodity, currency, and fixed income position contributes an equal amount of estimated risk to the overall portfolio when it rebalances monthly.

The bottom line is that you can achieve the somewhat higher returns of an equal - weighted large - cap fund, by simply allocating some of your portfolio to mid-sized or small market - cap weighted index funds.

Weighted Average Beta: Weighted average beta equals a stocks beta times its portion of a portfolio.

Standard deviation and max drawdown of the equal weight SPY / TLT portfolio is lower than the combined market timing system and SPY:

So while it is true that there is a bit of a mismatch, or «basis risk» between an equal - weight sector portfolio and the S&P 500, we believe the deep liquidity of S&P 500 options more than compensates for the basis risk.

Portfolio Strategies The Advantages of Simple Allocation Strategies Complex strategies do not significantly outperform simpler ones, such as equal - weighting or a 60 % stocks / 40 % bond mix.

Because of the equal weight component, the portfolio has a larger proportion of smaller companies compared to a purely market capitalization weighted portfolio.

Browne proposed an equal - weight portfolio of stocks, long - term bonds, cash, and gold.

If you take them as an equal weighted portfolio, they are priced in about the 80th percentile of the market.

Equal weight is a type of weighting that gives the same weight, or importance, to each stock in a portfolio or index fund, and the smallest companies are given equal weight to the largest companies in an equal - weight index fund or portfEqual weight is a type of weighting that gives the same weight, or importance, to each stock in a portfolio or index fund, and the smallest companies are given equal weight to the largest companies in an equal - weight index fund or portfequal weight to the largest companies in an equal - weight index fund or portfequal - weight index fund or portfolio.

If you look at a portfolio of equal weight stocks, bonds and cash the total return over the last 10 years is 4.8 %.

They calculate alphas for each anomaly by using the specified linear model risk factors to adjust gross monthly returns from a portfolio that is long (short) the value - weighted or equal - weighted tenth of stocks that are «good» («bad») according to that anomaly, reforming the portfolio annually or monthly depending on anomaly input frequency.

The monthly rebalancing of the equal - weighted portfolio generates the alpha for this strategy.

The results of both experiments confirm our hypothesis that it is the monthly rebalancing of the equal - weighted portfolio that generates the alpha for this strategy.

As we reduce the rebalancing frequency of the equal - weighted portfolio from the base case of 1 month to 6 months and then to 12 months, the per annum alpha of the equal - weighted portfolio drops from 175 basis points to 117 basis points and then to 80 basis points.

The higher systematic return of the equal - weighted portfolio arises from its higher exposure to the market, size, and value factors.

They seem to agree with Greenblatt when they find that the higher alpha of the equal - weighted portfolio arises from the monthly rebalancing required to maintain equal weights, which is a «contrarian strategy that exploits reversal and idiosyncratic volatility of the stock returns; thus, alpha depends only on the monthly rebalancing and not on the choice of initial weights.»

We test a portfolio that is annually rebalanced on June 30th, equal - weight invested across 30 stocks on July 1st, and held until June 30th of the following year.

For me, the most important part of the study is the finding that «The nonparametric monotonicity relation test indicates that the differences in the total return of the equal - weighted portfolio and the value - and price - weighted portfolios is monotonically related to size, price, liquidity and idiosyncratic volatility.»

They find that total return of the equal - weighted portfolio exceeds that of the value - and price - weighted because the equal - weighted portfolio has both a higher return for bearing systematic risk and a higher alpha measured using the four - factor model.

The white paper Performance of Value Investing Strategies in Japan's Stock Market examines the performance of equal - weight and market capitalization weighted quintile portfolios of five price ratios — price - to - book value, dividend yield, earning - to - price, cash flow - to - price, and leverage - to - price — excluding the smallest 33 percent of stocks by market capitalization.

Two notes though, at present I am running with 8 % cash, and Allstate and the Japan Smaller Capitalization fund are roughly 1.5 x the size of the largely equal - weighted portfolio.

The value quintile of equal - weighted portfolios book - to - market, dividend yield, earning - to - price, cash flow - to - price, and leverage - to - price generated monthly returns of 0.84 percent (10.6 percent per year), 0.78 percent (9.8 percent per year), 1.31 percent (16.9 percent per year), 1.13 percent (14.4 percent per year) and 0.0 percent (0.0 percent per year) in the 1990 — 2011 period, respectively.

The average 60 - month buy - and - hold raw return is 254 percent with equal weighting within the NCAV / MV portfolio and 216 percent with value weighting, which are much higher than market indices of only 137 percent and 108 percent.

Similarly, for the second experiment we see from Table 5 that once we hold constant the weights of the value - and price - weighted portfolios for 12 months and rebalance the weights only after 12 months, the differences in alphas for the equal - weighted portfolio relative to the value - and price - weighted portfolios is statistically insignificant (with the p - values being 0.65 and 0.30).

The researchers find find that the equal - weighted portfolio with monthly rebalancing outperforms the value - and price - weighted portfolios in terms of total mean return, four factor alpha, Sharpe ratio, and certainty - equivalent return, even though the equal - weighted portfolio has greater portfolio risk.

If our claim is correct, then as we keep fixed the weights of the value - and price - weighted portfolios for 6 months and 12 months, the alphas of these two portfolios should increase toward the alpha of the equal - weighted portfolio.

Table 4 shows that as we reduce the rebalancing frequency of the equal - weighted portfolio from the base case of 1 month to 6 months and then to 12 months, the per annum alpha of the equal - weighted portfolio drops from 175 basis points to 117 basis points and then to 80 basis points.Once the rebalancing frequency of the equal - weighted portfolio is 12 months, the difference in the alpha of the equal - weighted portfolio and that of the value - and price - weighted portfolios is no longer statistically significant (the p - value for the difference in alpha of the equal - and value - weighted portfolios is 0.96 and for the difference of the equal - and price - weighted portfolios is 0.98).

Yuliya Plyakha, Raman Uppal and Grigory Vilkov examine the performance of equal -, value -, and price - weighted portfolios of stocks in the major U.S. equity indices over the last four decades (note that here «value» weight is used in the academic sense, meaning «market capitalization weight»).

If our claim is correct, then as we reduce the rebalancing frequency, we should see the alpha of the equal - weighted portfolio decrease toward the level of the alpha of the value - and price - weighted portfolios, which do not entail any rebalancing.

Then, again for the next 12 months, we keep the weights of the value - and price - weighted portfolios constant so that they are equal to the weights for these portfolios at the 12 - month date.

Next, I tested the results of buying and holding this portfolio since 2006, equal weighted.

Equal weighting solves the problem of concentrated positions, but it creates other problems, including higher portfolio turnover and increased costs.