Sentences with phrase «pairwise asset return»
They measure long - term risk as the probability that portfolio value is below its initial value after ten years from 10,000 Monte ‐ Carlo simulations based on expected asset class returns, pairwise asset return correlations, inflation, investment alpha (baseline constant 1 % annually) and withdrawals (baseline approximately 5 % annual real rate).
https://www.cxoadvisory.com/ 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.
In their May 2012 paper entitled «Adaptive Asset Allocation: A Primer», Adam Butler, Michael Philbrick and Rodrigo Gordillo backtest a progression of strategies culminating in an Adaptive Asset Allocation (AAA) strategy that incorporates return predictability from relative momentum (last 120 trading days, about six months), volatility predictability from recent volatility (last 60 trading days) and pairwise correlation predictability from recent correlations (last 250 trading days).
They examine three measures of return comovement for each asset class: average pairwise correlation, average beta relative to the world market and average idiosyncratic volatility.
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.
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.
In their May 2012 paper entitled «Adaptive Asset Allocation: A Primer», Adam Butler, Michael Philbrick and Rodrigo Gordillo backtest a progression of strategies culminating in an Adaptive Asset Allocation (AAA) strategy that incorporates return predictability from relative momentum (last 120 trading days, about six months), volatility predictability from recent volatility (last 60 trading days) and pairwise correlation predictability from recent correlations (last 250 trading days).