Sentences with phrase «historical volatility in your markets»

It will look at what the historical volatility in your markets are.

It will look at what the historical volatility in your markets are.

Not exact matches

During a flat market in which volatility may be average from a historical perspective, consider choosing a strike price for your put options that is approximately 1 - 5 % out of the money.

In a slightly bearish market, it's important that the volatility be relatively high from a historical perspective.

Since the inception of the Fund (as well, of course, in long - term historical tests), our present approach to risk management has both added to returns and reduced volatility - not necessarily in any short period, but over the complete market cycle.

This stands in contrast to equity and fixed - interest markets where implied volatilities are close to their historical lows (see Box A).

The VIX, a measure of the expected equity - market volatility as determined by put and call prices on S&P 500 Index options, trailed lower in 2017 and remains well below its historical average.

Our model indicates that going forward, long - term yields will likely be subject to three upward pressures: (1) Our forecasted increase in inflation will boost nominal GDP growth; (2) As forward guidance is replaced by a data - dependent monetary tightening, volatility in short rates will increase; and (3) As the impact of QE on the Treasury market fades, long - term yields will trend back to their historical link with nominal GDP growth.

As such, any spike in equity market realized volatility, even to historical average levels, has the potential to drive a significant amount of equity selling (much of it automated).

While 2017 is winding down with volatility levels at historical lows, a calmness has remained in the market for quite some time.

In his example, Steiman used historical data for volatility and correlation and then assumed expected returns of 8 % for Canadian, US and international stocks, 9.5 % for emerging markets, and 5 % for fixed income.

You could take several college courses in market volatility and learn about standard deviation and implied vs. historical vs. relative volatility, but to trade on Nadex, you just need to know what volatility looks like in the movement of the price.

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.

For reference, the volatility target is about a third of the historical volatility of the U.S. stock market and roughly the same as the historical volatility of the Barclays Aggregate Bond Index (though in recent years the bond index's volatility has dropped to about 3 %).

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.

According to Evensky: «The MPT model alone will not necessarily work in bear markets, or at least not using historical averages alone as inputs without other adjustments to forecast the return, volatility and especially correlation.»

Both high dividend and low volatility strategies have generally provided historical downside protection in volatile markets.

A mutual fund that lags in market conditions that it historically has done well in should receive more scrutiny than a mutual fund that is following its historical volatility trends and is producing returns that are similar to those of its peers.

Second, historical data may not be an accurate prediction of the future, given that a new market is expected to evolve rapidly through time, hence price and volatility patterns could change significantly in periods ahead.

In determining optimal timing of market entry, the volatility of local employment base and, especially, the sectors that are primarily relevant to office demand (financial and business services) needs to be assessed through historical data.