Sentences with phrase «return volatility»

It had the lowest return volatility over the period studied, proving itself an effective tool for downside protection.

The total risk index measures the relative return volatility of a fund over three years compared to all funds.

You can get over 5 % on some high yield investments, but you may sacrifice some portfolio diversification and take on more return volatility.

Their target volatility is variable, set as the inception - to - date realized daily excess return volatility.

Fixed - income investments, or bonds as they are commonly known, typically provide a premium above inflation and experience less return volatility compared with shares.

For each investment style, we compare the volatility of the average (global) factor portfolio's returns to the average return volatility across the eight regions.

Second, using the simple measure of price return volatility to construct a low volatility bond portfolio could introduce unintended bias.

You can get over 5 % on some high yield investments, but you may sacrifice some portfolio diversification and take on more return volatility.

Their target volatility is variable, set as the inception - to - date realized daily excess return volatility.

Also, given that REIT securities tend to be more volatile than the market, the methodology aims to ensure that higher yield does not come at the price of higher return volatility.

Segment the then - current 1,000 largest stocks into 500 with the lowest and 500 with the highest 36 - month return volatilities.

Monthly inverse volatility weights derive from actual daily asset return volatilities over the past 90 trading days.

Do strategies that seek to exploit return volatility persistence by adjusting stock market exposure inversely with recent market volatility relative to some target (including exposures greater than 100 %) produce obvious benefits for investors?

Do strategies that seek to exploit return volatility persistence by adjusting stock market exposure inversely with recent market volatility relative to some target (including exposures greater than 100 %) produce obvious benefits for investors?

She's also found that not hedging tends to provide lower return volatility over the long - term, though only with U.S. investments.

Our analysis indicates the potential of a low volatility factor strategy in reducing return volatility in U.S. preferred stocks.

Here's a chart from JP Morgan that shows how stock return volatility becomes dampened with longer holding periods.

No protection provided against the cash flow and return volatility associated with unanticipated principal prepayments.

Standard deviation is a measure of return volatility computed using monthly returns for the last three years.

Value has higher average monthly return for only one of three size categories, but lower monthly return volatilities for all three.

We can now say that Berkshire Hathaway has a historical return volatility of about 16 %.

The Fund provides investors with broad exposure to commodity markets while seeking to outperform its commodity benchmark while maintaining moderate return volatility relative to the benchmark.

Some experts interpret stock market return volatility as an indicator of investor sentiment, with high (low) volatility indicating ascendancy of fear (greed).

Specifically, they examine contemporaneous interactions between risk parity performance and each of return - volatility relationship, return volatility clustering and fatness of return distribution tails (kurtosis).

It is important to note that, after adding the value screen, the S&P China A-Share Quality Value Index recorded higher absolute and risk - adjusted returns with slightly higher return volatility and bigger drawdown than the hypothetical S&P China A-Share Quality 200 Portfolio without an additional value screen.

The goal of the S&P U.S. High Yield Low Volatility Corporate Bond Index is to construct a high - yield bond portfolio with low credit risk and low return volatility by applying a low volatility factor.

Segment the then - current 1,000 largest stocks into 500 with the lowest and 500 with the highest 36 - month return volatilities.

Monthly risk parity weights derive from actual daily asset return volatilities and correlations over the past 90 trading days.

No protection provided against the cash flow and return volatility...

In their March 2018 paper entitled «The Conservative Formula: Quantitative Investing Made Easy», Pim van Vliet and David Blitz propose a stock selection strategy based on low return volatility, high net payout yield and strong price momentum.

Others may shy away from international bonds because currency fluctuations between the U.S. dollar and foreign currencies can lead to higher return volatility.

A subscriber, noting an article on slowing down intrinsic (absolute or time series) momentum for SPDR S&P 500 (SPY) when its return volatility is relatively high, suggested doing the same for the Simple Asset Class ETF Momentum Strategy (SACEMS).

Similarly, the S&P BSE Quality Index had relatively lower return volatility and the smallest drawdown among the four factors, highlighting the defensive characteristics of the quality factor.

While a rolling - returns analysis provides useful insights into performance over typical holding periods, it does not take the fund's return volatility or exposures into account.

And the book shows how in the past, an equal weighted blend provided better total performance, and even better when compared to return volatility.

In particular, the highest volatility quartile consistently exhibited the highest return volatility, while not compensating for that higher risk with extra return, and therefore resulting in significantly lower risk - adjusted returns.

Then, to calculate the return volatility of the stock, we are going to calculate the standard deviation of the 1 - year returns.

Others may shy away from international bonds because currency fluctuations between the U.S. dollar and foreign currencies can lead to higher return volatility.

In their March 2018 paper entitled «The Conservative Formula: Quantitative Investing Made Easy», Pim van Vliet and David Blitz propose a stock selection strategy based on low return volatility, high net payout yield and strong price momentum.

Among the six factors, low volatility and quality recorded lower return volatility than the benchmark and had the highest risk - adjusted return, while value, dividend, and size displayed much more volatile return than the benchmark (see Exhibit 1).

On the other hand, the more aggressive the asset allocation, the higher the initial spending rate — with one caveat: As the equity percentage approaches 100 %, the return volatility will likely increase, and over shorter time horizons may actually increase the chance of prematurely running out of money.»

We should note that these return assumptions are likely going to generate higher sustainable withdrawal rates due to the absence of return volatility.

Exhibit 1 confirms a positive relationship between credit spread, portfolio return, and return volatility; i.e., the wider the credit spread is, the higher the return and return volatility are (Quintile 1).

Factor Identification To identify the factors that could enhance security selection, we computed the performance statistics of the quintile portfolios ranked by each factor and demonstrated the strong relationship of factor exposure, portfolio return, and return volatility.

These modified quintile portfolios displayed a generally positive relationship between the low volatility factor, return, and return volatility, as expected.

The S&P U.S. High Yield Low Volatility Corporate Bond Index (the HYLV index) was launched on Dec. 20, 2016, with the aim of capturing high yield bonds with less credit risk and lower return volatility than the broad investment universe of U.S. high yield bonds.

These objectives and constraints, considered in the light of investment market expectations (expected returns, return volatilities, and return correlations), will dictate the appropriate investment strategies to be followed, including asset allocation and selection, the investment style to be pursued, and the appropriate way to monitor and evaluate performance.