Sentences with phrase «excess factor returns»

* Excess factor returns are factor returns after subtracting market beta (i.e., the returns of a market index).

Value has turned in the strongest excess factor returns over the past 10 years, while momentum and quality delivered the highest excess returns over the past year (as of 3/31/18)

Not exact matches

From an asset manager's point of view, «we believe that the proper use of sustainability or ESG factors enlarges your view of the company you're investing in, helps you manage risk, and is going to be helpful to you in identifying companies that are going to deliver excess returns for your clients,» says Bertocci.

Smart beta ETF investors seem to ignore empirical evidence Excess returns from smart beta are substantially different from factor returns Smart beta ETFs offer little diversification for an equity - centric portfolio INTRODUCTION Assets under management in smart beta products surpassed $ 1 trillion in

Returns by media type are similar whether measured simply in excess of the risk - free rate or adjusted for multiple risk factors common to long / short U.S. equity hedge funds.

SUMMARY Smart beta ETFs are based on factor investing research Excess returns from smart beta ETFs are different from factor returns Investors need to be aware that smart beta ETFs offer little diversification for an equity - centric portfolio INTRODUCTION Blackrock, a provider of active and passive

They calculate alpha for each fund each month as the difference between next - month excess return minus expected return based on fund factor loadings from a regression over the last 60 months.

SUMMARY It's difficult to rationalise why there should be excess returns from high quality stocks The Quality factor needs to be constructed beta - neutral to achieve positive returns Exposure to the Quality factor is an attractive hedge for an equity - centric portfolio INTRODUCTION The concept of

They employ three distinct methods to measure long - run abnormal returns: (1) calendar - time three - factor (market, size, book - to - market ratio) portfolio alpha; (2) three - factor alpha in event time; and, (3) returns in excess of those for control stocks matched on size, book - to - market ratio and six - month past return.

Even though investing in the best decile of a composite of value factors averages out to have excess returns of almost four percent annualized, when looking at shorter investment periods it only works a little better than two out of three years on a one - year basis.

Many institutional strategies derive excess returns by implicitly shorting those exact same risk factors.»

They evaluate factor portfolio performance based on excess return of constituent corporate bonds versus duration - matched U.S. Treasuries (thereby focusing on the default premium component of corporate bond returns).

Such statements reflect the current views of Barnes & Noble with respect to future events, the outcome of which is subject to certain risks, including, among others, the general economic environment and consumer spending patterns, decreased consumer demand for Barnes & Noble's products, low growth or declining sales and net income due to various factors, possible disruptions in Barnes & Noble's computer systems, telephone systems or supply chain, possible risks associated with data privacy, information security and intellectual property, possible work stoppages or increases in labor costs, possible increases in shipping rates or interruptions in shipping service, effects of competition, possible risks that inventory in channels of distribution may be larger than able to be sold, possible risks associated with changes in the strategic direction of the device business, including possible reduction in sales of content, accessories and other merchandise and other adverse financial impacts, possible risk that component parts will be rendered obsolete or otherwise not be able to be effectively utilized in devices to be sold, possible risk that financial and operational forecasts and projections are not achieved, possible risk that returns from consumers or channels of distribution may be greater than estimated, the risk that digital sales growth is less than expectations and the risk that it does not exceed the rate of investment spend, higher - than - anticipated store closing or relocation costs, higher interest rates, the performance of Barnes & Noble's online, digital and other initiatives, the success of Barnes & Noble's strategic investments, unanticipated increases in merchandise, component or occupancy costs, unanticipated adverse litigation results or effects, product and component shortages, the potential adverse impact on the Company's businesses resulting from the Company's prior reviews of strategic alternatives and the potential separation of the Company's businesses, the risk that the transactions with Microsoft and Pearson do not achieve the expected benefits for the parties or impose costs on the Company in excess of what the Company anticipates, including the risk that NOOK Media's applications are not commercially successful or that the expected distribution of those applications is not achieved, risks associated with the international expansion contemplated by the relationship with Microsoft, including that it is not successful or is delayed, the risk that NOOK Media is not able to perform its obligations under the Microsoft and Pearson commercial agreements and the consequences thereof, risks associated with the restatement contained in, the delayed filing of, and the material weakness in internal controls described in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended April 27, 2013, risks associated with the SEC investigation disclosed in the quarterly report on Form 10 - Q for the fiscal quarter ended October 26, 2013, risks associated with the ongoing efforts to rationalize the NOOK business and the expected costs and benefits of such efforts and associated risks and other factors which may be outside of Barnes & Noble's control, including those factors discussed in detail in Item 1A, «Risk Factors,» in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended April 27, 2013, and in Barnes & Noble's other filings made hereafter from time to time with tfactors, possible disruptions in Barnes & Noble's computer systems, telephone systems or supply chain, possible risks associated with data privacy, information security and intellectual property, possible work stoppages or increases in labor costs, possible increases in shipping rates or interruptions in shipping service, effects of competition, possible risks that inventory in channels of distribution may be larger than able to be sold, possible risks associated with changes in the strategic direction of the device business, including possible reduction in sales of content, accessories and other merchandise and other adverse financial impacts, possible risk that component parts will be rendered obsolete or otherwise not be able to be effectively utilized in devices to be sold, possible risk that financial and operational forecasts and projections are not achieved, possible risk that returns from consumers or channels of distribution may be greater than estimated, the risk that digital sales growth is less than expectations and the risk that it does not exceed the rate of investment spend, higher - than - anticipated store closing or relocation costs, higher interest rates, the performance of Barnes & Noble's online, digital and other initiatives, the success of Barnes & Noble's strategic investments, unanticipated increases in merchandise, component or occupancy costs, unanticipated adverse litigation results or effects, product and component shortages, the potential adverse impact on the Company's businesses resulting from the Company's prior reviews of strategic alternatives and the potential separation of the Company's businesses, the risk that the transactions with Microsoft and Pearson do not achieve the expected benefits for the parties or impose costs on the Company in excess of what the Company anticipates, including the risk that NOOK Media's applications are not commercially successful or that the expected distribution of those applications is not achieved, risks associated with the international expansion contemplated by the relationship with Microsoft, including that it is not successful or is delayed, the risk that NOOK Media is not able to perform its obligations under the Microsoft and Pearson commercial agreements and the consequences thereof, risks associated with the restatement contained in, the delayed filing of, and the material weakness in internal controls described in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended April 27, 2013, risks associated with the SEC investigation disclosed in the quarterly report on Form 10 - Q for the fiscal quarter ended October 26, 2013, risks associated with the ongoing efforts to rationalize the NOOK business and the expected costs and benefits of such efforts and associated risks and other factors which may be outside of Barnes & Noble's control, including those factors discussed in detail in Item 1A, «Risk Factors,» in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended April 27, 2013, and in Barnes & Noble's other filings made hereafter from time to time with tfactors which may be outside of Barnes & Noble's control, including those factors discussed in detail in Item 1A, «Risk Factors,» in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended April 27, 2013, and in Barnes & Noble's other filings made hereafter from time to time with tfactors discussed in detail in Item 1A, «Risk Factors,» in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended April 27, 2013, and in Barnes & Noble's other filings made hereafter from time to time with tFactors,» in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended April 27, 2013, and in Barnes & Noble's other filings made hereafter from time to time with the SEC.

Such statements reflect the current views of Barnes & Noble with respect to future events, the outcome of which is subject to certain risks, including, among others, the effect of the proposed separation of NOOK Media, the general economic environment and consumer spending patterns, decreased consumer demand for Barnes & Noble's products, low growth or declining sales and net income due to various factors, possible disruptions in Barnes & Noble's computer systems, telephone systems or supply chain, possible risks associated with data privacy, information security and intellectual property, possible work stoppages or increases in labor costs, possible increases in shipping rates or interruptions in shipping service, effects of competition, possible risks that inventory in channels of distribution may be larger than able to be sold, possible risks associated with changes in the strategic direction of the device business, including possible reduction in sales of content, accessories and other merchandise and other adverse financial impacts, possible risk that component parts will be rendered obsolete or otherwise not be able to be effectively utilized in devices to be sold, possible risk that financial and operational forecasts and projections are not achieved, possible risk that returns from consumers or channels of distribution may be greater than estimated, the risk that digital sales growth is less than expectations and the risk that it does not exceed the rate of investment spend, higher - than - anticipated store closing or relocation costs, higher interest rates, the performance of Barnes & Noble's online, digital and other initiatives, the success of Barnes & Noble's strategic investments, unanticipated increases in merchandise, component or occupancy costs, unanticipated adverse litigation results or effects, product and component shortages, risks associated with the commercial agreement with Samsung, the potential adverse impact on the Company's businesses resulting from the Company's prior reviews of strategic alternatives and the potential separation of the Company's businesses (including with respect to the timing of the completion thereof), the risk that the transactions with Pearson and Samsung do not achieve the expected benefits for the parties or impose costs on the Company in excess of what the Company anticipates, including the risk that NOOK Media's applications are not commercially successful or that the expected distribution of those applications is not achieved, risks associated with the international expansion previously undertaken, including any risks associated with a reduction of international operations following termination of the Microsoft commercial agreement, the risk that NOOK Media is not able to perform its obligations under the Pearson and Samsung commercial agreements and the consequences thereof, the risks associated with the termination of Microsoft commercial agreement, including potential customer losses, risks associated with the restatement contained in, the delayed filing of, and the material weakness in internal controls described in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended April 27, 2013, risks associated with the SEC investigation disclosed in the quarterly report on Form 10 - Q for the fiscal quarter ended October 26, 2013, risks associated with the ongoing efforts to rationalize the NOOK business and the expected costs and benefits of such efforts and associated risks and other factors which may be outside of Barnes & Noble's control, including those factors discussed in detail in Item 1A, «Risk Factors,» in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended May 3, 2014, and in Barnes & Noble's other filings made hereafter from time to time with tfactors, possible disruptions in Barnes & Noble's computer systems, telephone systems or supply chain, possible risks associated with data privacy, information security and intellectual property, possible work stoppages or increases in labor costs, possible increases in shipping rates or interruptions in shipping service, effects of competition, possible risks that inventory in channels of distribution may be larger than able to be sold, possible risks associated with changes in the strategic direction of the device business, including possible reduction in sales of content, accessories and other merchandise and other adverse financial impacts, possible risk that component parts will be rendered obsolete or otherwise not be able to be effectively utilized in devices to be sold, possible risk that financial and operational forecasts and projections are not achieved, possible risk that returns from consumers or channels of distribution may be greater than estimated, the risk that digital sales growth is less than expectations and the risk that it does not exceed the rate of investment spend, higher - than - anticipated store closing or relocation costs, higher interest rates, the performance of Barnes & Noble's online, digital and other initiatives, the success of Barnes & Noble's strategic investments, unanticipated increases in merchandise, component or occupancy costs, unanticipated adverse litigation results or effects, product and component shortages, risks associated with the commercial agreement with Samsung, the potential adverse impact on the Company's businesses resulting from the Company's prior reviews of strategic alternatives and the potential separation of the Company's businesses (including with respect to the timing of the completion thereof), the risk that the transactions with Pearson and Samsung do not achieve the expected benefits for the parties or impose costs on the Company in excess of what the Company anticipates, including the risk that NOOK Media's applications are not commercially successful or that the expected distribution of those applications is not achieved, risks associated with the international expansion previously undertaken, including any risks associated with a reduction of international operations following termination of the Microsoft commercial agreement, the risk that NOOK Media is not able to perform its obligations under the Pearson and Samsung commercial agreements and the consequences thereof, the risks associated with the termination of Microsoft commercial agreement, including potential customer losses, risks associated with the restatement contained in, the delayed filing of, and the material weakness in internal controls described in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended April 27, 2013, risks associated with the SEC investigation disclosed in the quarterly report on Form 10 - Q for the fiscal quarter ended October 26, 2013, risks associated with the ongoing efforts to rationalize the NOOK business and the expected costs and benefits of such efforts and associated risks and other factors which may be outside of Barnes & Noble's control, including those factors discussed in detail in Item 1A, «Risk Factors,» in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended May 3, 2014, and in Barnes & Noble's other filings made hereafter from time to time with tfactors which may be outside of Barnes & Noble's control, including those factors discussed in detail in Item 1A, «Risk Factors,» in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended May 3, 2014, and in Barnes & Noble's other filings made hereafter from time to time with tfactors discussed in detail in Item 1A, «Risk Factors,» in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended May 3, 2014, and in Barnes & Noble's other filings made hereafter from time to time with tFactors,» in Barnes & Noble's Annual Report on Form 10 - K for the fiscal year ended May 3, 2014, and in Barnes & Noble's other filings made hereafter from time to time with the SEC.

However, another contributing factor has arguably been the Fed's extraordinarily easy monetary policy suppressing volatility and hindering active managers» ability to generate excess returns via security selection and portfolio tilts.

Some of these factors include above average earnings per - share growth rates, above average return on equity, excess free cash flow, low debt - to - equity ratios, and shareholder friendly management.

Since the 1950s, several factors besides sheer risk have been identified that help explain excess returns over time.

Some of these factors include above - average earnings per - share growth rates, above - average return on equity, excess - free cash flow, low debt - to - equity ratios, and shareholder - friendly management.

Multiple empirical studies show that these factors have exhibited excess returns above the market.

While factors have exhibited excess risk - adjusted returns over long time periods as seen above, over short horizons factors exhibit significant cyclicality, including periods of underperformance.

(A backtest is simply a statistical look at historical data to determine whether employing a given investment factor, such as selecting stocks with low price - earnings ratios, results in excess returns over time; i.e., returns above a stock market benchmark.)

Founded in 1992 by Eugene Fama and Kenneth French, the Fama and French's Three Factor model uses three factors, including HML, to attempt to explain excess returns in a manager's portfolio.

Speaking of stock selection methodologies, Richard Tortoriello of Standard & Poor's backtested more than 1,200 strategies to determine what factors were predictive of future «excess returns.»

Therefore, blending factors to form multifactor portfolios may potentially help deliver smoother excess return across business and market cycles.

«Investors opt for this approach because they want to capture a return from a particular factor — for example, the value premium, rather than make excess returns from getting market timing right,» he continues.

Three factors: issue selection (including investment decisions on seniority / subordination, covenant protection, maturity, and bond versus CDS exposures), sector weighting, and quality tilt typically contribute the majority of any excess returns relative to the benchmark.

These factors together contribute the balance of any excess returns versus the benchmark.

The company size factor reflects the excess return that investors demand for investing in smaller companies relative to larger companies.

At 100 % gross exposure to each strategy, we compute the excess returns, volatilities, and Sharpe ratios of the three factors:

Their main performance metric is 7 - factor hedge fund alpha, which corrects for seven risks proxied by: (1) S&P 500 Index excess return; (2) difference between Russell 2000 Index and S&P 500 Index returns; (3) 10 - year U.S. Treasury note (T - note) yield, adjusted for duration, minus 3 - month U.S. Treasury bill yield; (4) change in spread between Moody's BAA bond and T - note, adjusted for duration; and, (5 - 7) excess returns on straddle options portfolios for currencies, commodities and bonds constructed to replicate trend - following strategies in these asset classes.

They calculate alpha for each fund each month as the difference between next - month excess return minus expected return based on fund factor loadings from a regression over the last 60 months.

They focus on net fund alphas, meaning after - fee returns in excess of the risk - free rate, adjusted for exposures to three kinds of risk factors well known at the start of the sample period: (1) traditional equity market, bond market and credit factors; (2) dynamic stock size, stock value, stock momentum and currency carry factors; and, (3) a volatility factor specified as monthly returns from buying one - month, at ‐ the ‐ money S&P 500 Index calls and puts and holding to expiration.

We use risk factor to mean factors whose premia are compensation for risk and behavioral factors to mean factors whose premia are excess returns from exploiting behavioral mistakes.

Substantial evidence supports factor return predictability, yet evidence also indicates that investors are not reaping, to the greatest extent possible, the excess returns commensurate with such knowledge.

Evidently, a large part of the 351 bps of excess return before trading costs comes from sources unrelated to the target factors.

First, can the global factors explain the average excess returns associated with the regional portfolios of Table 1?

She defines idiosyncratic volatility as the standard deviation of daily residuals from monthly regressions of returns (in excess of the risk - free rate) for each stock versus Fama - French model factors.

Figure 2, Panel A, plots the historical excess return and historical volatility, and Panel B the five - year expected return and expected volatility, at year - end 2016 for a number of common factors in the US market, constructed as long — short portfolios.

Despite the fact that many single - factor strategies have empirically delivered positive excess returns in the long run, they have suffered periods of substantial underperformance under certain market conditions due to their cyclicality.

Range of excess returns in factor - based portfolios: Current vs historical (Calendar quarters from 1/1/08 -3 / 31/18)

The reason for this smoothing is that excess returns of factors are generally un - or low - correlated, and thus tend to cancel «bumps» in portfolio returns.

Factor investing is a well - documented method of generating excess returns, but some of the practical aspects of it are often overlooked in academic research, which tends to focus on «pure» premiums.

Here is the cumulative excess return of the cheapest stocks by a few different measures of value between 1963 and 1993, when the paper was published, and then, below that, the same cumulative excess for the factors between 1993 and 2015, and finally between just 2007 and 2015.

They analyzed returns using a traditional three - factor model espoused by Eugene Fama and Kenneth French, which considers excess returns, valuation and market size, and Mark Carhart's four - factor model, which includes momentum.

Multi-Factor Smart Beta Strategies The low and negative correlations across the excess returns of the six factor - based smart betas indicates strong diversification benefits by combining the strategies into a multi-factor portfolio.

Factor - Based Smart Betas The prospect of an average annualized excess return of nearly 5 % across six robust and largely independent factors helps explain the strong investor demand for factor inveFactor - Based Smart Betas The prospect of an average annualized excess return of nearly 5 % across six robust and largely independent factors helps explain the strong investor demand for factor invefactor investing.

The authors examined the 3 - Factor (Fama / French 3 Factor Model) adjusted excess returns (alpha) of 3,156 actively managed mutual funds between 1984 to 2006.

They are: (1) a market factor, as measured by the excess return of a broad equity market portfolio relative to a risk - free rate; (2) a size factor, as measured by the difference between the returns of a portfolio of small stocks and the returns of a portfolio of large stocks; and (3) a value factor, as measured by the difference between the returns of a portfolio of high book - to - market (or value) stocks and the returns of a portfolio of low book - to - market (or growth) stocks.

They then compared these aggregate results to a distribution of potential 3 - factor (Fama / French Three Factor Model) adjusted excess returns (alpha) based on random outfactor (Fama / French Three Factor Model) adjusted excess returns (alpha) based on random outFactor Model) adjusted excess returns (alpha) based on random outcomes.

Most strategies earn an excess return over the market benchmark, but in each of the international markets we study, a couple of the factor - based smart beta strategies generate mildly negative value - add.