Sentences with phrase «return measurement interval»

There is only one return measurement interval and therefore no compounding effect (ignoring the difference between arithmetic and geometric means).

We compare correlations by ranked fifth (quintile) of VIX at the end of the past return measurement interval to determine (in - sample) optimal time series momentum measurement intervals for different ranges of VIX.

We compare correlations by ranked fifth (quintile) of VIX at the end of the past return measurement interval to determine (in - sample) optimal time series momentum measurement intervals for different ranges of VIX.

For an illiquid asset class such as art, many individual assets do not trade within commonly used return measurement intervals (such as a year).

Not exact matches

The past return interval for momentum measurement is four weeks, augmented by a one - week delay in portfolio formation to avoid short - term reversal.

For initial strategy tests, they consider past return measurement (lookback) and holding intervals of 1, 3, 6, 9, 12, 24, 36 or 48 months.

In robustness tests, he considers past return measurement and holding intervals of one, three, nine and 12 months.