Sentences with phrase «high average volatility»

[2] The first two underlying measures in the table are exclusion - based, with prices that either have a high average volatility, or which are not market - determined, permanently excluded from the CPI basket.

Not exact matches

High - beta stocks are simply the shares of companies whose stocks trade with above - average volatility — and like the twin peaks of a two - humped financial camel, these stocks carry both above - average risk and, potentially, above - average reward.

Combined, these instances capture a cumulative 97 % loss in the S&P 500, but there's really not much difference based on the 200 - day moving average, except that the market tends to experience more violent declines and somewhat stronger rebounds (that is, higher overall volatility) when the S&P 500 is below that average.

Crash Warnings are characterized by strongly negative average returns, but also high volatility, which means that strong rallies can also occur, which we've seen in the past couple of days.

Volatility is also quite high, moving approximately 4.5 % per day based on Average True Range (ATR) divided by price.

A measure of 30 - day volatility known as the CBOE VIX reached a high of 16.92, which was still well below the historic average.

Indeed, once our estimated market return / risk profile is strictly negative (as it is at present), the negative implications for the S&P 500 aren't affected by the position of the market relative to that average, except that the market tends to experience higher volatility once the market breaks that average.

After a long period of much lower than average volatility (in 2017, the S&P 500 hit 64 record highs, with only four single - day declines of more than 1 %), this has been surprising for many investors.

For proof of the high volatility of the headline indicator, note that the average absolute monthly change across this data series is 7.7.

The average investor «decides to buy with his intellect, but sells with his gut» when volatility gets too high.

The higher the rank, the lower average historical volatility over 63, 126, and 252 days.

After serenely bubbling higher in small daily increments for two full years amid the lowest volatility in market history, the venerable Dow Jones Industrial Average is beginning to misbehave.

The recent Greek crisis and Chinese stock market crash has injected high volatility back into the financial markets and dragged down the broader averages over the past week or so.

For the most part, lump sum investing outperformed dollar cost averaging two out of every three times, «even when results are adjusted for the higher volatility of a stock / bond portfolio versus cash investments.»

But when rates are rising and we've just observed an abrupt reversal in leadership (new lows suddenly dominating new highs), it's not worth the gamble - the average return tends to be negative, and the volatility also tends to be unusually high.

Stock markets are near all - time highs, volatility has been low, and stock valuations are above - average when comparing prices to earnings or other fundamentals.

The Reformed Broker) recently shared the aptly titled post How to Make Volatility Your Bitch highlighting how dollar cost averaging into a volatile market can lead to higher overall returns: Door number one — you spend 15 years putting $ 1000 into an investment every month for 15

For the Dow Jones Industrial Average, since 1926, the odds of a 10 % correction happening are 1 in 3 — they are par for the course when it comes to the stock market's value proposition (which is that the price for higher returns is higher volatility).

Over the preceding twenty - year period, furniture expenditure averaged growth of 1.1 per cent each year (with high volatility), which is lower than inflation and lower than average school and resource budgets.

The lower the volatility, the higher the quality of the stock on average.

Stock / equity funds — As you probably guessed, stock funds have basically the same risks and rewards as individual stocks — high volatility, risk of losing money, easy to buy and sell, good investment to beat inflation, and historically among the best returns, on average over time.

It has outperformed the S&P 500 by an average 2.9 % per year since 1994, although it has done so at a «cost» of higher volatility.

This higher volume and volatility means that trend continuations happen more often, and breakouts make more significant moves on average.

It does benefit, however, from holding healthier underlying companies with reduced instances of delisting (0 vs. 9), which leads to a higher average total return (13.4 % vs. 11.4 %), lower volatility (13.6 % vs. 15.3 %), and higher subsequent five - year dividend growth rate (18.0 % vs. 11.1 %).

Portfolios are designed to consistently reflect an investor's risk requirements in all markets and to outperform their benchmarks by protecting capital in two ways: first, under normal market conditions, with volatility within historical averages, diversification is used to control risk; second, when volatility is historically high or low, PŮR uses a proprietary SmartRisk ™ strategy.

Note that the 5 - year ladder had slightly higher return and volatility due to having an average duration that was slightly higher.

Although there's no relationship to speak of in the middle quintiles, the lowest quintile of volatility shows the highest average returns, and the highest quintile of volatility shows the lowest average returns.

Investment risk increases while average returns decrease with higher market volatility.

(xiv) Many believe that a steady $ $ dividend in a period of stock price volatility, allows the reinvested dividend to purchase more shares when the stock is down, and less shares when the stock is high, producing extra returns from a dollar - cost - averaging effect.

The returns themselves (an average of 2.7 %) suggest the need for higher degrees of portfolio leverage to reach satisfactory returns, and the volatilities (an average of 6.4 %) allow room for judicious use of leverage.

Calendar rebalancing gave the second highest average Sharpe ratio, with middling returns and a relatively low volatility and drawdown.

The top quintile of low volatility stocks delivered average monthly excess returns of.52, whereas the top quintile of high volatility stocks delivered excess returns of.17, a 300 % difference.

The average return for profit chasing was 0.71 % higher than calendar rebalancing, with a disproportionate 2.85 % increase in average volatility and a 7.83 % increase in average drawdown.

Volatility weighting reduced the overall portfolio volatility in 99 % of cases and gave the highest average Sharpe ratio, although returns were 1.08 % lower than calendar rebalancing oVolatility weighting reduced the overall portfolio volatility in 99 % of cases and gave the highest average Sharpe ratio, although returns were 1.08 % lower than calendar rebalancing ovolatility in 99 % of cases and gave the highest average Sharpe ratio, although returns were 1.08 % lower than calendar rebalancing on average.

The higher the number, the greater the volatility; for a stock fund that has an average annual return of 12 % and a standard deviation of 20 %, you can expect to earn between 32 % and -8 % in about two out of every three years.

While illiquid bonds had slightly higher credit spreads and directionally higher average returns, portfolios that tilt toward (away from) less (more) liquid bonds exhibit considerably higher levels of volatility.

Research in finance has aggregated together cross-listed and non-cross-listed stocks and finds that, on average, value stocks outperform growth stocks, small cap stocks outperform large cap stocks, low liquidity stocks outperform large liquidity stocks and low volatility stocks outperform high volatility stocks.

So while we don't believe that the record high gold / XAU ratio can be taken entirely at face value, there's no question that it is elevated even on a cyclical basis (that is, even allowing for a gradual structural increase over time), and there's no question in the data that cyclically elevated gold / XAU ratios have been associated with strong subsequent gains in the XAU index over a 3 - 4 year period on average, though certainly not without risk or volatility.

This relative strength test experiences higher drawdowns and volatility when compared to a system that simply buys the 5 ETFs when they are above / below a long - term moving average such as the 10 month moving average.

In the construction of the S&P U.S. High Yield Low Volatility Corporate Bond Index, an individual bond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equation 1).

On average, unconstrained bond funds delivered lower return and lower return per unit of volatility than the U.S. Aggregate Bond Index and higher return than the Global Aggregate Bond Index.

John Authers in the FT recently wrote a very interesting article exploring why high volatility stocks are (on average) relatively overpriced.

One problem is dollar cost averaging, where you invest small amounts each month to help smooth out the volatility of buying at extreme highs and lows.

Lesson four is that switching yields better than its average, but the volatility is higher.

Compare that to markets like mini SP 500 futures or T Bonds futures and you will see higher volatility on average.

The replicators aim to give investors exposure to the average hedge fund after fees, ideally offering steady returns with low volatility, high liquidity and transparency.

But this higher average annualized return was accompanied by 33 % more relative annualized volatility (13.2 % versus 9.9 %).

On average, it finds that an LSI approach has outperformed a DCA approach approximately two - thirds of the time, even when results are adjusted for the higher volatility of a stock / bond portfolio versus cash investments.

It maintains an approximate normal distribution that accumulates to an average 1.14 % monthly fair return over 600 months, but with a standard deviation of 4.67 %, which is a high level of short - term volatility.

When the focus is on protecting from downside risks, the additional volatility caused by the 10 - year bonds hurt retirement outcomes by more than could be compensated by their higher average yields.