Sentences with phrase «historical volatility index»

Before long, floor boss Sam Rogers (Kevin Spacey) is hearing all about the historical volatility index.

This is quite helpful, especially if you've never heard of a «historical volatility index limit» and wouldn't know what it was even if you had.

He's a risk manager at an unnamed Wall Street securities firm in 2008, sitting at his desk, frowning at a historical volatility index.

He wants to know all about this historical volatility index.

Not exact matches

This rally has been so strong that many global indices have gone up in a straight line, registering gains up to 300 % over that time period with volatility hitting historical lows.

For most of the first three months the VIX Index, a common measure of equity volatility, traded somewhere between 11 and 13, well below its historical average of 20.

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.

The above historical performance figures from Morningstar indicate that the fund had a higher volatility (expressed as a standard deviation of returns) and underperformed the S&P 500 ® index, its best - fit benchmark, on a risk - adjusted basis (Sharpe Ratio) in both the three - and five - year trailing periods.

The following table presents historical return data for ETFs tracking the MSCI EAFE Minimum Volatility Index.

Volatility based: Here you can use the 100 - day historical volatility of the S&P 500 index and then use a cut Volatility based: Here you can use the 100 - day historical volatility of the S&P 500 index and then use a cut volatility of the S&P 500 index and then use a cut off value.

Using the 10 - year U.S. Treasury Bond yield as the proxy for interest rates, Exhibit 1 shows the historical performance of the S&P 500 Low Volatility and S&P 500 indices in periods of significantly increased interest rates.

In this blog, we review the historical performance of the S&P 500 Low Volatility Index to the S&P 500 in rising interest rate periods to confirm whether or not this is the case.

Well a «bit of volatility» is maybe downplaying what we've witnessed in recent weeks with the VIX or «fear index» rocketing higher from a near historical low of 9 in early January to a peak of 37 in early February.

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 Index (though in recent years the bond index's volatility has dropped to about index's volatility has dropped to about 3 %).

The CBOE Volatility Index (VIX)-- the so - called «fear gauge» derived from the implied volatility of S&P 500 options — has been closing out the year near its historical lows, miles away Volatility Index (VIX)-- the so - called «fear gauge» derived from the implied volatility of S&P 500 options — has been closing out the year near its historical lows, miles away volatility of S&P 500 options — has been closing out the year near its historical lows, miles away from fear.

The weighting of the individual companies in the reference index EURO iSTOXX High Dividend Low Volatility 50 is based on the historical one - year dividend yields whereby each company is limited to a maximum weighting of three percent and only a maximum of ten companies per country can be included.

Mortgage Indexes Market characteristics, volatility, current values and historical graphs of the most common ARM iIndexes Market characteristics, volatility, current values and historical graphs of the most common ARM indexesindexes.

The index tracks 12 commodity futures contracts and determines their position sizes based on their historical volatility.

Historical volatility of the pure style indices has been 21 - 22 % compared to 16 % for the market.

Historical Volatility data, Implied Volatility data, and the Current Implied Volatility Percentile for all stock, index and futures options updated weekly.

The following table presents historical return data for ETFs tracking the CEMP International 500 Volatility Weighted Index.