Sentences with phrase «low volatility analysis»
We extend the low volatility analysis Read more -LSB-...]
http://www.indexologyblog.com/ Not exact matches
«This analysis does show that it usually takes some time to trade at low levels of volatility after a spike to historically elevated levels.
In this blog, we continue the analysis to see if there is a relationship between the magnitude of interest rate change and magnitude of active return of the low volatility index relative to the S&P Read more -LSB-...]
Their analysis involves (1) estimating the factor characteristics of each stock in a broad index; (2) aggregating the characteristics across all stocks in the index; and (3) matching aggregated characteristics to a mimicking portfolio of five indexes representing value, size, quality, momentum and low volatility styles, adjusted for estimated expense ratios.
A similar analysis over the five - year period through July 2016 reveals that the fund cumulatively returned 18.8 % compared to 28 % for its reference ETF portfolio that had a slightly lower volatility.
Our analysis indicates the potential of a low volatility factor strategy in reducing return volatility in U.S. preferred stocks.
Your investment analysis should include these high probability value strategies because they improve returns and lower portfolio volatility.
An analysis of volatility portfolio performance of common stock on the major US exchanges from 1968 to 2015 shows low volatility stocks deliver significantly higher excess returns.
In this blog, we continue the analysis to see if there is a relationship between the magnitude of interest rate change and magnitude of active return of the low volatility index relative to the S&P 500.
These ETFs use volatility weighting to lower volatility of the market (sometimes this delivers a premium), or technical analysis to avoid drawdown and preserve capital.
At about 15 %, the fund's volatility, measured by an annualized standard deviation of monthly returns in the entire analysis period, was slightly lower than that of the overall stock market.