Sentences with phrase «quintile of high volatility»
The top quintile of low volatility stocks delivered average monthly excess returns of.52, whereas the top quintile of high volatility stocks delivered excess returns of.17, a 300 % difference.
http://www.realsmartbeta.com/ Not exact matches
A comparison of the median stock volatility of the highest and lowest quintiles is significantly more striking: the median volatility of the smallest stocks (50.5 %) is almost 100 % more volatile than the median volatility of the largest stocks (25.5 %).
Although there's no relationship to speak of in the middle quintiles, the lowest quintile of volatility shows the highest average returns, and the highest quintile of volatility shows the lowest average returns.
The Quintile 1 portfolio, containing the least volatile bonds, had the lowest return and the highest level of realized portfolio volatility.
Only one out of the five quintiles demonstrated a higher annualized return than the U.S. Aggregate Bond Index, and none outperformed the U.S. Aggregate Bond Index in terms of return per unit of volatility.