Sentences with phrase «i.e. measure of volatility»

Standard deviation i.e. measure of volatility of FD rates are 2 %

Not exact matches

Finally, the fund failed to outperform both the SPY and OEF in terms of traditional measures, i.e. the annualized return, volatility, alpha and beta, or Sharpe and Sortino ratios:

A measure of the sensitivity (i.e., volatility) of a stock or a mutual fund to movements in the overall stock market.

Ben Dor, Dynkin, Hyman, Houweling, Leeuwen, and Penninga (2007) demonstrate that spread changes are proportional to the level of spreads, i.e., the volatility of percentage spread change is much more stable than absolute spread volatility, and therefore they propose that the better measure of exposure to credit risk is not the contribution to spread duration, but the contribution to DTS.