Sentences with phrase «ratio of the standard deviation»

(The slope also equals ratio of the standard deviations.)

There are any number of other statistics one can also use — the ratio of the standard deviation to the mean, the range, and so on.

At right, the model diversity, defined a the ratio of the standard deviation of all models from their corresponding mean values.

Not exact matches

If we take a look at the numbers another way, by price to sales, the average 2017 forward ratio is around 5.95 with a standard deviation of around 3.5.

Key performance metrics are annualized average gross return, annualized standard deviation of returns, annualized gross Sharpe ratio (assuming risk - free rate 0 %) and maximum drawdown.

For each decile, we've subtracted the 1986 - 2016 average price / revenue ratio for that decile, dividing the result by the standard deviation of valuations in that decile (again from 1986 - 2016).

These conditions comprise the following: S&P 500 overvalued with the Shiller P / E (the ratio of the S&P 500 to the 10 - year average of inflation - adjusted earnings) greater than 18; overbought with the S&P 500 within 3 % of its upper Bollinger band (2 standard deviations above the 20 - period average) at daily, weekly, and monthly resolutions, more than 7 % above its 52 - week smoothing, and more than 50 % above its 4 - year low; overbullish with the 2 - week average of advisory bullishness (Investors Intelligence) greater than 52 % and bearishness below 28 %; and yields rising with the 10 - year Treasury bond yield higher than 6 - months earlier.

The product writ large is designed to reduce a diversified portfolio's correlation to the market, lower standard deviation (thus increasing a portfolio's Sharpe ratio) and ultimately deliver long - term returns in excess of the market.

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.

One standard deviation increase of CSF ApoA1 was associated with a 30 % increased risk of clinical progression (hazard ratio (HR)(95 % CI) = 1.3 (1.0 — 1.6)-RRB-.

Association of Genetically - Elevated Waist - to - Hip Ratio Adjusted for Body Mass Index (One Standard Deviation Increase) With Type 2 Diabetes Using Three Instruments

Association of Genetically - Elevated Waist - to - Hip Ratio Adjusted for Body Mass Index (One Standard Deviation Increase) With Type 2 Diabetes Using Three Instruments With Additional Adjustment for Body Mass Index

Association of Genetically - Elevated Waist - to - Hip Ratio Adjusted for Body Mass Index (One Standard Deviation Increase) With Coronary Heart Disease Using Three Instruments With Additional Adjustment for Body Mass Index

Association of Genetically - Elevated Waist - to - Hip Ratio Adjusted for Body Mass Index (One Standard Deviation Increase) With Type 2 Diabetes and Coronary Heart Disease, Overall and by Quintile of WHRadjBMI

Although Gaetz's bill does not include fiscal expenditures, as noted in the main text (§ IV, supra), in reviewing the start time / academic achievement studies undertaken by fellow economists, Columbia University Assistant Professor of Finance and Economics Jonah Rockoff and the Walter H. Annenberg Professor of Education Policy, Professor of Economics, and Professor of Education at the University of Michigan, Brian Jacob, concluded that delaying middle and high school start times «from roughly 8 a.m. to 9 a.m. -LSB-,]» will increase academic achievement by 0.175 standard deviations on average, with effects for disadvantaged students roughly twice as large as advantaged students, at little or no cost to schools; i.e., a 9 to 1 benefits to costs ratio when utilizing single - tier busing, the most expensive transportation method available.

The above historical performance figures from Morningstar indicate that the fund had a higher volatility (expressed as a standard deviation of returns) and underperformed the S&P 500 ® index, its best - fit benchmark, on a risk - adjusted basis (Sharpe Ratio) in both the three - and five - year trailing periods.

Using filters of Expense ratio, Sharpe ratio and Standard Deviation, I now have just 29 debt mutual fund schemes spread across the 4 categories mentioned above.

Metrics such as the standard deviation of returns and value at risk are more absolute - risk measures, while beta and the Sharpe ratio give a sense of risk / return versus a given benchmark.

Each of the table above lists the equity mutual fund name along with the Expense Ratio, Standard Deviation and the Sharpe Ratio of the respective fund.

Information ratio = (Mutual fund returns — benchmark returns) / (Standard deviation of mutual fund — Standard deviation of benchmark)

Specifically, it is the ratio of the fund's annualized excess return divided its standard deviation.

While IJR outperformed MDY in terms of the annualized return, alpha and Sharpe ratio (just slightly), it also had the highest standard deviation (volatility), maximum drawdown and beta of all three ETFs.

Both standard deviation and Sharpe ratio define risk in terms of volatility.

Other statistical measures such as calculation of standard deviation and shape ratios are important to calculate or estimate the risk.

Risk, when measured by standard deviation, is minimized with a 50 % allocation to the DRS.. The Sharpe ratio, which is the most commonly used measure of risk / return trade - off, is maximized at around a 70 % allocation to the DRS.

Sharpe Ratio uses a fund's standard deviation and its excess return (the difference between the fund's return and the risk ‐ free return of 90 ‐ day Treasury Bills) to determine reward per unit of risk.

(Ratios to measure risk of a mutual fund: A good Mutual Fund ideally should have Low Standard Deviation, High Alpha, Low Beta and High Sharpe Ratio)

Since 1996, the US CAPE ratio has been above its long - term simple average (16.6) 96 % of the time, and above 24, roughly one standard deviation above its historical norm, more than two - thirds of the time.

Additionally, these impressive Sharpe ratios come with low risk when measured by other means than standard deviation of returns.

Since its July 2013 inception, AQR Long - Short Equity Fund I QLEIX has returned 14.4 % above its benchmark (a 50 - 50 blend of the MSCI World Index and cash) with a standard deviation of 5.8 %, for a Sharpe ratio of 2.46.

Since its October 2014 inception, AQR Equity Market Neutral Fund I QMNIX has returned 18.6 % annualized with a standard deviation of 7.0 %, for a Sharpe ratio of 2.66.

The Pain Ratio - A Better Risk / Return Measure Download PDF Pain Ratio vs. Standard Deviation In a previous post, we discussed the pain index as a better measure of risk.

I would expect long - term stock returns to be in a range of 5.25 % real (15 % standard deviation * 0.35 Sharpe ratio) to 4 % real (2.2 % yield + 1.8 % real payout growth).

A ratio used to test this reward to risk ratio is the Sharpe Ratio: Portfolio Return — Risk - Free Rate / Standard Deviation of the Portratio used to test this reward to risk ratio is the Sharpe Ratio: Portfolio Return — Risk - Free Rate / Standard Deviation of the Portratio is the Sharpe Ratio: Portfolio Return — Risk - Free Rate / Standard Deviation of the PortRatio: Portfolio Return — Risk - Free Rate / Standard Deviation of the Portfolio

I determined the mean, mean plus and minus one standard deviation, probability of exceeding the Minimum Acceptable Return (MAR) for levels of 0 % and 2 % (approximately), below target deviation, upside potential and upside ratio for all individual segments.

For reference, in the same time frame a portfolio consisting of just the SPY would have an annualized return of 8.52 % with a standard deviation of 14.25 %, Sharpe ratio of 0.55 and maximum drawdown of 50.8 %.

Data pertaining to «Portfolio allocation», portfolio holdings, Risk stats (Standard deviation, Alpha, Beta, Downside & Upside capture ratios etc), returns data etc of the listed funds and other competing peers have been duly considered.

Stocks were then ranked based on their 1 year sharpe ratio, or the annualized return of a stock divided by its annualized standard deviation of the weekly returns.

Over the same analysis interval, the fund had a total cumulative return of about 130 % (annualized 9.2 %), with a standard deviation of 15.1 %, Sharpe ratio of 0.58, and maximum drawdown of 44 %.

We consider as performance metrics: average annual excess return (relative to the yield on 1 - year U.S. Treasury notes at the beginning of each year); standard deviation of annual excess returns; annual Sharpe ratio; compound annual growth rate (CAGR); and, maximum annual drawdown (annual MaxDD).

• Will display portfolio statistics like correlation coefficients, average / median / minimum / maximum rates of return over the selected time frame, along with standard deviation of monthly returns, Beta, Alpha (Jensen), R - squared, Treynor Ratio, and Sharpe Ratio, and all of that.

The other strategies generate lower maximum drawdowns, but do so for lower Sharpe ratios: The strategy that kicked into cash at the mean had a maximum drawdown of 69 percent, and the worst Sharpe ratio at 0.11; the strategy that kicked into cash at one standard deviation above the mean had a maximum drawdown of 80 percent, and a Sharpe ratio of 0.14, and the strategy that kicked into cash at two standard deviations above the mean had a maximum drawdown of 84 percent, and a Sharpe ratio of 0.15.

The strategy that kicked into cash at the mean had lower a maximum drawdown of 73 percent, but an improved Sharpe ratio at 0.12; the strategy that kicked into cash at one standard deviation above the mean remained unchanged with a maximum drawdown of 80 percent, and a Sharpe ratio of 0.14, and the strategy that kicked into cash at two standard deviations above the mean had a maximum drawdown of 85 percent, and a Sharpe ratio of 0.15.

The Sharpe ratio is calculated for a time series by dividing the mean period return (daily, monthly, yearly), in excess of the risk free rate, by the standard deviation of such returns.

High returns have the effect of increasing the value of the denominator (standard deviation), and lowering the value of the ratio.

In addition to your portfolio return, we also provide the Sharpe ratio, which represents the real return (return obtained, less the risk - free return) of each unit of risk (standard deviation).

The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns.

Markowitz mean - variance optimization and the Sharpe ratio are two such examples under the umbrella of modern portfolio theory that reference variance or standard deviation as a proxy for risk in their formulation.

This model could be used as a starting point in the development of a GCM parameterization of a the ice mixing - ratio probability distribution function and cloud amount, if a means of diagnosing the depth of the saturated layer and the standard deviation of cloud depth from basic large - scale meterological parameters could be determined.