Sentences with phrase «relative drawdowns»

Simply put, higher returns lower relative drawdowns.

In essence, we find that the secret to Buffett's success is his preference for cheap, safe, high - quality stocks combined with his consistent use of leverage to magnify returns while surviving the inevitable large absolute and relative drawdowns this entails.

Where it gets tough is when I am in an absolute and relative drawdown, as I was for most of the second half of 2007.

Not exact matches

Now is the time, in our view, as valuations become stretched, to begin balancing out one's factor exposures; the next large drawdown will likely create an opportunity to bank some alpha relative to traditional beta exposures.

Our preferred method for assessing a strategy's return relative to drawdown has

We wanted to take a moment to highlight a post from the always smart JW Keuning describing a novel approach for measuring how well a strategy has performed relative to drawdowns (losses): Presenting the Keller Ratio.

The $ 31.33 billion drawdown over the past year is a drop in the bucket relative to China's $ 1.2 trillion holding, the third - largest after the Fed and the Social Security Fund.

Like Sharpe and Sortino, it measures excess return, but relative to its typical drawdown.

The Morningstar percentile ranking is based on the fund's max drawdown relative to all funds that have the same category for the same time period.

Examining funds that have been around for at least 1.5 cycles (since October 2002, oldest share class only), the following delivered 50 % or more total return during bull markets, while limiting drawdowns to 50 % during bear markets, each relative to S&P 500.

The bottom part of the chart shows the drawdowns of the value approach relative to the S&P 500 (2).

Each position is regularly monitored and appraised on its ability to 1) achieve long - term capital appreciation, with a focus on providing positive real returns over the next three years, 2) provide diversification benefits relative to other holdings, and 3) reduce portfolio drawdown.

Historical results are no guarantee of future returns but a top 2 strategy in the «Moose» has had minimal drawdown and reasonable volatility relative to returns.

This relative strength test experiences higher drawdowns and volatility when compared to a system that simply buys the 5 ETFs when they are above / below a long - term moving average such as the 10 month moving average.

The bubbles, drawdowns, and mediocre, returns relative to what the big name investors like Soros and Buffet get made me question the strategy.

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).

This chart shows the performance in a drawdown of each of the value deciles relative to the market.

Drawdowns Relative to the Market for Value Decile (Price - to - Book Value), and 3 Shiller PE Timed Strategies

This chart examines the drawdown to each strategy relative to the market.

The normal candidates are then allocated based upon their relative attractiveness, which leads to the construction of a portfolio seeking positive returns, while minimizing volatility and drawdown, BCM notes.

For our US smart beta portfolios, we find that relative to systematic rebalancing, dynamic rebalancing slightly increases volatility and tracking error, but lowers drawdowns and the duration of periods of underperformance.

Figure 2 shows the drawdowns of the long / short strategies (top panel) and the worst cumulative under performance of the long - only strategies relative to the market, i.e., the drawdowns on the long - only strategies» active returns (bottom panel).