Sentences with phrase «monthly factor returns»

The analysis is based on monthly asset returns (total return) and monthly factor returns.

Not exact matches

First, per the findings of «Asset Class Diversification Effectiveness Factors», we measure the average monthly return for DBV and the average pairwise correlation of DBV monthly returns with the monthly returns of the above assets.

Using monthly returns for 3,292 actively managed mutual funds focused on U.S. stocks and contemporaneous market, size, book - to - market and momentum factor returns during March 1993 to December 2014, they find that: Keep Reading

Using these fWHRs, monthly net - of - fee returns and assets under management of 3,868 associated live and dead hedge funds, and monthly risk factor values during January 1994 through December 2015, they find that:

Using daily and monthly factor portfolio returns from Kenneth French during 1926 or 1963 through 2015 and currency carry trade returns during 1983 through 2015, they find that: Keep Reading

Using monthly U.S. stock market factor and sector returns from Kenneth French's library spanning July 1963 through November 2014, they find that: Keep Reading

Using monthly asset class returns and factor estimation inputs during 1996 through 2013, they find that: Keep Reading

First, per the findings of «Asset Class Diversification Effectiveness Factors», we measure the average monthly return for BWX and the average pairwise correlation of BWX monthly returns with the monthly returns of the above assets.

Using daily and monthly factor portfolio returns from Kenneth French during 1926 or 1963 through 2015 and currency carry trade returns during 1983 through 2015, they find that: Keep Reading

Using monthly returns for 3,292 actively managed mutual funds focused on U.S. stocks and contemporaneous market, size, book - to - market and momentum factor returns during March 1993 to December 2014, they find that: Keep Reading

Using these fWHRs, monthly net - of - fee returns and assets under management of 3,868 associated live and dead hedge funds, and monthly risk factor values during January 1994 through December 2015, they find that:

They focus on net fund alphas, meaning after - fee returns in excess of the risk - free rate, adjusted for exposures to three kinds of risk factors well known at the start of the sample period: (1) traditional equity market, bond market and credit factors; (2) dynamic stock size, stock value, stock momentum and currency carry factors; and, (3) a volatility factor specified as monthly returns from buying one - month, at ‐ the ‐ money S&P 500 Index calls and puts and holding to expiration.

Using monthly trading volumes, returns and assets (sizes) for 4,587 U.S. equity mutual funds and for 747 U.S. equity ETFs, and contemporaneous U.S. equity factor model returns, during January 2000 through December 2015, they find that: Keep Reading

First, per the findings of «Asset Class Diversification Effectiveness Factors», we measure the average monthly return for VXX and the average pairwise correlation of VXX monthly returns with the monthly returns of the above assets.

First, per the findings of «Asset Class Diversification Effectiveness Factors», we measure the average monthly return for VXZ and the average pairwise correlation of VXZ monthly returns with the monthly returns of the above assets.

She defines idiosyncratic volatility as the standard deviation of daily residuals from monthly regressions of returns (in excess of the risk - free rate) for each stock versus Fama - French model factors.

They calculate alphas for each anomaly by using the specified linear model risk factors to adjust gross monthly returns from a portfolio that is long (short) the value - weighted or equal - weighted tenth of stocks that are «good» («bad») according to that anomaly, reforming the portfolio annually or monthly depending on anomaly input frequency.

Using monthly returns and firm fundamentals for a broad sample of U.S. stocks, and contemporaneous stock return model factor returns, during July 1963 through December 2012, they find that: Keep Reading

The researchers find find that the equal - weighted portfolio with monthly rebalancing outperforms the value - and price - weighted portfolios in terms of total mean return, four factor alpha, Sharpe ratio, and certainty - equivalent return, even though the equal - weighted portfolio has greater portfolio risk.

Our aim is a combination of two very important factors, conservative trading style and consistent monthly returns and that's what we try to achieve for all our subscribers.

Because carry and value require longer holding periods to harvest the factors» returns, the authors take the extra step of setting those strategy portfolios» monthly weights to the trailing average of the prior -12-months model weights.

In order to convince those non-believers, I'll need to pull out all the stops and run a 3 - factor regression analysis * on the monthly returns for some of the most popular Canadian dividend and value ETFs.

Using monthly returns for 2,132 dead and 992 live hedge funds encompassing nine investment styles, and contemporaneous factor returns, during January 1994 through April 2014, they find that: Keep Reading

Using monthly net returns and assets under management (AUM) for specific (not fund - of - funds) and distinct CTA funds with at least 12 months of returns denominated in U.S. dollars and monthly data required to estimate futures risk factor premiums as available during January 1987 through July 2015, they find that: Keep Reading

Using original investor portfolio and corresponding robo advisor portfolio holdings collected during mid-January 2016 through early November 2016, fund loads and fees as of September 2016, and monthly returns for all assets and factors as available since January 1975, they find that: Keep Reading

Using theory, monthly returns for 10,145 U.S. domestic equity mutual funds, the risk - free (lending) rate and returns for the five Fama - French factors during July 2005 through June 2015, he finds that: Keep Reading

That's because their returns are based on two factors: current interest rates and the expected duration of the monthly payments.

P3 members simply input the basic variables unique to each property (the price, the monthly rental income, the management costs and the rates and taxes, or levies) into the easy - to - use programme and have instant access to four crucial indicators: the rental factor; the cash flow position at the outset; the breakeven date and total investment amount; as well as the return on investment (ROI) and internal rate of return (IIR).