Sentences with phrase «portfolio by the standard deviation»

* To arrive at that number, I simply divided the monthly standard deviation for the 70/30 portfolio by the standard deviation for the 100 % stock portfolio.

Not exact matches

Shifting 40 % of the portfolio into bonds reduced portfolio standard deviation from 16.57 % to 11.49 %.4 Portfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % aportfolio into bonds reduced portfolio standard deviation from 16.57 % to 11.49 %.4 Portfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % aportfolio standard deviation from 16.57 % to 11.49 %.4 Portfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % aPortfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % and +33 %.

It compares the return above the risk - free rate earned as compared to the corresponding risk assumed by the portfolio, as measured by standard deviation.

The Sharpe ratio is calculated by subtracting the risk - free rate - such as that of the 3 - month U.S. Treasury Bill - from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns.

We focus on gross compound annual growth rate (CAGR), gross maximum drawdown (MaxDD) and rough gross annual Sharpe ratio (average annual return divided by standard deviation of annual returns) as key performance statistics for the Top 1, equally weighted (EW) Top 2 and EW Top 3 portfolios of monthly winners.

The efficient frontier is a curve which represents all the points where for a given level of risk (as measured by standard deviation) of a portfolio you are achieving the optimal rate of return.

Volatility is measured by standard deviation, which indicates how much a portfolio's returns vary from year to year.

The volatility of the fund, measured by the standard deviation of monthly returns, was slightly higher than that of the reference ETF portfolio.

A classic 1968 paper by professors J.L. Evans and S.H. Archer, for example, concluded that a portfolio of 10 randomly chosen stocks would have similar risk, as measured by standard deviation, to the market as a whole.

The world - wide portfolio more than doubles the 40 - year return of the S&P 500 at less risk when measured by standard deviation and the worst five - year period.

The Über - Tuber trailed the DFA portfolio by just half a dozen basis points annually, and it accomplished that result with a lower standard deviation — which means lower volatility.

If you believe as we do that risk can not be adequately explained by a single number such as standard deviation of return, but is rather the potential for the respective portfolios to face future capital impairment, it becomes important to compare the fundamental character of the manager's portfolio to that of the benchmark.

It will give you a dollar figure on what your portfolio stands to gain or lose by taking the standard deviation of your portfolio.

Because of the asset correlations, the total portfolio risk, or standard deviation, is lower than what would be calculated by a weighted sum.

Shifting 40 % of the portfolio into bonds reduced portfolio standard deviation from 16.57 % to 11.49 %.4 Portfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % aportfolio into bonds reduced portfolio standard deviation from 16.57 % to 11.49 %.4 Portfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % aportfolio standard deviation from 16.57 % to 11.49 %.4 Portfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % aPortfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % and +33 %.

For example, given that the price return of a bond is determined by the bond's duration and yield change, a bond portfolio constructed using the volatility measure of standard deviation of price return could be biased toward bonds with short duration.

To show a relationship between excess return and risk, this number is then divided by the standard deviation of the portfolio's annualized excess returns.

It is calculated by subtracting the risk - free rate from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns.

The fund's volatility, measured by an annualized standard deviation of 26.5 %, was about 4 % higher than that of the reference ETF portfolio.

You can check this for yourself by using our monthly update of performance and standard deviation for both portfolios Couch Potato and AssetBuilder.

The square of standard deviation is the variance, as defined by Nobel Laureate Harry Markowitz, who is arguably best known as the pioneer of Modern Portfolio Theory.

Portfolio volatility is measured by measuring the annual standard deviation.