Sentences with phrase «low average volatility»

in the long - term, and enjoy lower average volatility (more commonly known as a better night's sleep...).

Not exact matches

The four - week moving average of initial claims, considered a better measure of labor market trends as it irons out week - to - week volatility, fell 1,250, to 231,250 last week, the lowest level since March 31, 1973.

The short - term group of averages, which reflects the way traders are thinking, shows a low level of volatility.

An above - average dividend yield (the MSCI Canada Energy Index is yielding an annualized dividend of 3.6 % versus 2.9 % on the overall MSCI Canada index, according to Bloomberg data as of July 31, 2017) and lower price volatility could make energy a more attractive sector for income - seeking investors in a low yield world.

For example, in periods of low market volatility and average demand, a one ounce gold American Eagle coin might be offered at 4.5 % over spot, but periods of weak demand can bring the price down to 3.5 % over spot, or lower.

Yet volatility is still below its long - term average, and the low - volatility climate of the past few years is incompatible with a world marked by slow growth, unstable inflation expectations and a likely Federal Reserve rate hike before year's end.

When a clear market uptrend is in place and market volatility is smooth and steady, a pullback to the 50 - day or 200 - day moving averages typically presents a low - risk buy entry point in a strong stock.

Bellwether's investment philosophy is simple; companies with growing profitability and a history of increasing the dividend paid to shareholders inevitably produce above average returns with lower volatility.

From 2012 to 2016, the average annual volatility was less than 13 percent on the S&P 500, about 30 percent lower than average.

When volatility is average, options prices will typically be a little lower than during a bearish market and that might cause options that are farther out of the money to be priced so low that the risks involved outweigh the profit potential.

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.

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

Small caps (Russell 2000) and to a lesser extent Nikkei and EM equities in stocks all have below - average vol and correlations today to S&P 500; makes index hedges cheaper, although the lower level of realized volatility means consensus is looking for an even better entry point to buy equity vol.»

While some people question whether VIX is too low, it is worth noting that the average levels for Bloomberg's estimate of A-T-M implied volatility were 2.6 points lower than the VIX Index.

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 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.

With all that going on, the four volatility indexes based on SPX option pricing remained low and on average were basically unchanged last week.

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.

BondMason provides a unique way to target risk - adjusted returns, with low volatility, achieving an average gross return of 8 % p.a.

Low volatility has lasted longer than many expected, but pullback predictions have increased, citing above - average valuations, heightened political uncertainty and the transition to less support from the Federal Reserve.

The 10 month moving average system lowered the volatility of the portfolio to 7.1 % and drawdown to 7.1 % but had slightly lower overall returns than simply buying and holding the portfolio.

Low volatility stocks have been outperforming the average stock since the beginning of 2015, with peak outperformance coming around the second quarter of 2016.

The low - volatility fund will target companies with lower volatility than the broad market average, while the momentum fund will invest in companies that demonstrate positive momentum.

These upper and lower bands are set above and below the moving average by a certain number of standard deviations of price, thus incorporating 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.

The last of these positions suggests that, on average, the fund held a substantial portion of its assets in fixed - income securities, which lowered its volatility.

In this world, a rate of return that is below average but is achieved with very low volatility can be considered an exceptionally good result.

The S&P 500 Low Volatility Index underperformed the benchmark 60 % of the time when interest rates rose and underperformed by an average of -0.60 %.

Investors also may want to consider setting up regular, automatic contributions to take advantage of dollar cost averaging — a strategy that can lower the average price you pay for fund units over time and can help mitigate the risk of market volatility.

The S&P 500 Low Volatility Index underperformed the S&P 500 in 9 of the 10 periods, with an average excess return of -8.92 % and median excess return of -5.44 %.

The 10 month moving average system lowered the volatility of the portfolio to 7.1 % and drawdown to 7.1 % but had slightly lower overall returns than simply buying and holding the portfolio.

On average, the first 100 trading days of recession - induced bear markets contain only a quarter of the bear market losses and have lower volatility compared with the full downturn.

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.

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.

Using a disciplined investment process and diversified strategies, we seek to generate consistent above benchmark returns with lower than average volatility

Using a disciplined investment process, we seek to generate consistent above benchmark returns with lower than average volatility.

When the bid - ask spread is tight, it means that the market maker (or specialist), is comfortable that short - term volatility is low enough, that he will be able to profit from the tight spread on average.

Stocks that demonstrate lower - than - average variability of returns are often considered «low - volatility» stocks.

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.

A simple, direct explanation of the low volatility effect is that many investors willingly accept lottery - like risk in pursuit of better - than - average returns.

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.

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.

In months when Low Volatility outperformed, on average Short VIX underperformed.

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).

Exhibit 2 shows that in months when Low Volatility underperformed the S&P 500, on average Short VIX outperformed.

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.