Sentences with phrase «measure of volatility in»

However, beta is an imperfect measure of volatility in some circumstances, and it can be misleading for investors who are not careful to identify the limits of the metric's explanatory value.

Not exact matches

Even if Canada doesn't start dropping payloads of cash itself — something Cooper says he does not foresee in the next three years, at least — the ripple effect of a central bank explicitly targeting higher inflation and adopting formerly verboten measures to get it would be felt on these shores in the form of increased global volatility.

The latest release saw sales volume decline by 1.0 % between April and May, though there has been a great deal of volatility in this measure over the past few months, so it would not be surprising to see a reversal next month.

The chart shows the number of transactions in Treasury bonds divided by the MOVE index, or Merrill Lynch Option Volatility Estimate, which measures Treasury market vVolatility Estimate, which measures Treasury market volatilityvolatility.

In a falling market, you want the large - cap dividendpaying stock that has low beta (a measure of volatility), he says.

From our definition there flows an important corollary: The riskiness of an investment is not measured by beta (a Wall Street term encompassing volatility and often used in measuring risk) but rather by the probability — the reasoned probability — of that investment causing its owner a loss of purchasing power over his contemplated holding period.

This wasn't unexpected, since the market was rising in just the right mix of conditions: Volatility as measured by the Cboe's index was at historic lows, the GOP was set to pass the most comprehensive corporate - tax reform in decades, and economies around the world were in growth mode.

In the past, the S&P 500 VIX measure of volatility has been highly correlated with the yield spread between corporate junk and Treasuries.

As for last week's market activity, Jones said that on Thursday we saw a five standard deviation (that's a volatility measure) kind of movement in one day.

In a guest post in The High Frequency Trading Review, Narang freely admits that «there has been an increasing incidence, in recent times, of days exhibiting unusually high volatility (measured as days when the close - to - close return, or alternatively, the high - low trading range are large in magnitude).&raquIn a guest post in The High Frequency Trading Review, Narang freely admits that «there has been an increasing incidence, in recent times, of days exhibiting unusually high volatility (measured as days when the close - to - close return, or alternatively, the high - low trading range are large in magnitude).&raquin The High Frequency Trading Review, Narang freely admits that «there has been an increasing incidence, in recent times, of days exhibiting unusually high volatility (measured as days when the close - to - close return, or alternatively, the high - low trading range are large in magnitude).&raquin recent times, of days exhibiting unusually high volatility (measured as days when the close - to - close return, or alternatively, the high - low trading range are large in magnitude).&raquin magnitude).»

The market volatility index, otherwise known as the VIX and even better known as the fear gauge — a measure of the expected volatility of U.S. stocks — has surged to the highest level in more than two years.

The CBOE Market Volatility Index ($ VIX) is a contrarian index that essentially measures the level of fear in the market at any given time (which is based on market voVolatility Index ($ VIX) is a contrarian index that essentially measures the level of fear in the market at any given time (which is based on market volatilityvolatility).

Beta is a measure of the volatility, or systematic risk, of a security or a portfolio, in comparison to the market as a whole.

The reality is that rising volatility as measured by the CBOE Volatility Index, or VIX, «is only a reflection of volatile movements in the market — it is not a predictor of future returns,» David Kotok, the head of Cumberland Advisors, sent in a Friday note written by Leo Chen Ph.D. to the wealth management firm'volatility as measured by the CBOE Volatility Index, or VIX, «is only a reflection of volatile movements in the market — it is not a predictor of future returns,» David Kotok, the head of Cumberland Advisors, sent in a Friday note written by Leo Chen Ph.D. to the wealth management firm'Volatility Index, or VIX, «is only a reflection of volatile movements in the market — it is not a predictor of future returns,» David Kotok, the head of Cumberland Advisors, sent in a Friday note written by Leo Chen Ph.D. to the wealth management firm's clients.

If markets pick back up venture funding will return as it was before the 3 - day, 10 % correction but if the VIX goes up (a measure of expected volatility in the stock market) then expect rounds to take longer.

Looking at monthly Bloomberg data from 1994 to the present, changes in the VIX Index, a measure of U.S. equity volatility, explain nearly 20 % of the variation in the relative return between gold and the S&P 500 Index.

Market volatility — as measured by the VIX (the so - called «fear index»)-- surged 80 % in the first quarter of the year.

This aversion is inherent in the loonie's opposition to the VIX, a measure of stock volatility.

One measure of stock volatility, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX), had been unusually lovolatility, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX), had been unusually loVolatility Index (VIX), had been unusually low in 2017.

While the VIX and other measures of equity market volatility are flirting with historic lows, volatility in other asset classes remains elevated relative to the summer levels.

In their October 2009 paper entitled «Risk Sentiment Index (RSI) and Market Anomalies», Guy Kaplanski and Haim Levy introduce the Risk Sentiment Index (RSI) as a measure of the residual risk contained in VIX after accounting for the statistical and economic variables most predictive of future stock market volatility (such as previous month actual volatility and VIXIn their October 2009 paper entitled «Risk Sentiment Index (RSI) and Market Anomalies», Guy Kaplanski and Haim Levy introduce the Risk Sentiment Index (RSI) as a measure of the residual risk contained in VIX after accounting for the statistical and economic variables most predictive of future stock market volatility (such as previous month actual volatility and VIXin VIX after accounting for the statistical and economic variables most predictive of future stock market volatility (such as previous month actual volatility and VIX).

In conjunction with stock valuation ratios like the price - to - earnings ratio and the price - to - earnings - growth ratio, a stock's measure of volatility known as beta can help investors build a diversified...

Furthermore, there had been a significant rise in hedging activity leading into the event, with a spike in the cost of such hedges as measured by implied option volatility.

Central bank bond - buying measures in most of the world have helped to increase liquidity, support asset prices, and smooth volatility.

Still, the sudden slide means implied volatility — a measure of expected swings priced in options contracts — has soared.

The biggest challenge here is that exchange rate volatility currently makes bitcoin a poor store of value, at least if your time horizon is measured in months, weeks, or even days, as it is for people who get paid daily or (bi) weekly and pay their rent or mortgage monthly.

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 speed of both the decline and subsequent reversal pushed the VIX — one measure of market volatility — to its highest level on record, and it abruptly rose from 13 to more than 50 in a week, according to Bloomberg data.

This metric measures the implied or expected volatility in the stock market (as reflected in S&P 500 options) over the next 30 days, and is one of the main indicators used by traders today of market volatility.

The risk exposure to which you exposed your capital, measured not by volatility in market quotation but in the price paid relative to intrinsic value with an adjustment for the potential of wipeout, is the real secret of building wealth over the long term.

The implied volatility from a currency option is a measure of the variability that the market sees in future movements in the exchange rate over the life of the option contract.

The increase in this measure of wages continues to display considerable short - run volatility.

«Identifying VXX / XIV Tendencies» finds that S&P 500 implied volatility index (VIX) futures roll return, as measured by the percentage difference in settlement price between the nearest and next nearest VIX futures, may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) returns.

«The riskiness of an investment is not measured by beta (a Wall Street term encompassing volatility and often used in measuring risk) but rather by the probability — the reasoned probability — of that investment causing its owner a loss of purchasing - power over his contemplated holding period.»

Scrambling to hedge their positions against further losses, investors bid up the prices of options, leading to the surge in the VIX, a gauge that measures the implied volatility of near - term S&P 500 index options.

The perceived threat reflected in the South Korean stock market, measured by the latest rise in the volatility index of the KOSPI 200, has been relatively small compared to the flare ups in recent years.

At an EU Commission meeting today where the future of the EU dairy sector was discussed, Copa - Cogeca, which represents farmers and their co-operatives in the European Union, called for long - term measures to reduce extreme market volatility and ensure that farmers get a fair return for their produce.

The measures involve working towards making the market work better to reduce price volatility, ensuring the best use of existing oil resources, accelerating a switch to alternative energy sources and further investment in alternative energy supplies.

City AM on the bleak election result in Europe's fourth biggest economy: «Italian voters left the Eurozone's third biggest economy a gridlocked political mess yesterday, with a hung parliament clobbering the euro, spooking stock markets, and sending measures of volatility soaring.

Head teachers have argued that this year's results should not be used to measure schools» achievements because of the likely volatility in the system.

In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility.

In that period, the large - cap value ETF handily outperformed its growth counterpart, albeit with a slightly higher standard deviation (a measure of volatility of returns).

In the first half of 2017, equity markets across the world were characterized by low volatility, both in realized terms and in implied measures such as VIX In the first half of 2017, equity markets across the world were characterized by low volatility, both in realized terms and in implied measures such as VIX in realized terms and in implied measures such as VIX in implied measures such as VIX ®.

The Chicago Board of Options Exchange Volatility Index (VIX)-- a.k.a. the investor «fear gauge» — is the best way to measure near - term volatility in thVolatility Index (VIX)-- a.k.a. the investor «fear gauge» — is the best way to measure near - term volatility in thvolatility in the S&P 500.

Another measure of risk adjusted return, but in this case it is relative to the amount of downside volatility (DSDEV) a fund incurs.

Simply put, volatility is the measure of «nervousness» that's in the markets, based on a sense of uncertainty as far as what the futures prices might do, or where those prices might go.

The speed of both the decline and subsequent reversal pushed the VIX — one measure of market volatility — to its highest level on record, and it abruptly rose from 13 to more than 50 in a week, according to Bloomberg data.

Many metrics in current use (e.g. Sharpe Ratio, tracking error, information ratio) compare a unit of return to a unit of portfolio volatility, measured either on an absolute basis or relative to a benchmark.

Finally, if you want to reduce the wild price swings in your portfolio then look for companies with a low beta — a measure of volatility.

There have been 11 major crises in recent years that spiked the Volatility Index (VIX), a measure of Chicago options that shows market expectations for vVolatility Index (VIX), a measure of Chicago options that shows market expectations for volatilityvolatility.