Sentences with phrase «risk by standard deviation»

It doesn't matter if you measure risk by standard deviation of returns, beta, or credit rating (with junk bonds).

Although statisticians like to measure risk by standard deviation, I don't think this is a very relevant guide to the way human beings actually experience risk.

Not exact matches

Shifting 40 % of the portfolio into bonds reduced portfolio standard deviation from 16.57 % to 11.49 %.4 Portfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % and +33 %.

It compares the return above the risk - free rate earned as compared to the corresponding risk assumed by the portfolio, as measured by standard deviation.

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.

«Identifying VXX / XIV Tendencies» finds that the Volatility Risk Premium (VRP), estimated as the difference between the current level of the S&P 500 implied volatility index (VIX) and the annualized standard deviation of S&P 500 Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) returns.

Risk is measured by the standard deviation.

The risk of this combination, I should add, was lower (measured by standard deviation) than that of either U.S. or international small - cap blend stocks by themselves.

The efficient frontier is a curve which represents all the points where for a given level of risk (as measured by standard deviation) of a portfolio you are achieving the optimal rate of return.

Different versions of risk are usually measured by calculating the standard deviation of the historical returns or average returns of a specific investment.

By using risk - adjusted yield — computed as 12 - month trailing yield divided by the standard deviation of yield — the higher weight is placed on securities with more stable yieldBy using risk - adjusted yield — computed as 12 - month trailing yield divided by the standard deviation of yield — the higher weight is placed on securities with more stable yieldby the standard deviation of yield — the higher weight is placed on securities with more stable yields.

A classic 1968 paper by professors J.L. Evans and S.H. Archer, for example, concluded that a portfolio of 10 randomly chosen stocks would have similar risk, as measured by standard deviation, to the market as a whole.

The world - wide portfolio more than doubles the 40 - year return of the S&P 500 at less risk when measured by standard deviation and the worst five - year period.

If you believe as we do that risk can not be adequately explained by a single number such as standard deviation of return, but is rather the potential for the respective portfolios to face future capital impairment, it becomes important to compare the fundamental character of the manager's portfolio to that of the benchmark.

However, annualized risk, as measured by standard deviation calculated based on monthly total return for the same period stood at 15.25 %.

It beat its Russell 2000 ® index benchmark in one -, three -, five - and ten - year periods as well as since inception through 2013, at a comparable risk level measured by a standard deviation of returns.

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 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 risk / return trade - off, is maximized at around a 70 % allocation to the DRS.

This is a very interesting variation for aggressive investors who want to seek even higher returns without much additional risk, (at least as measured by standard deviation.

Yet that additional 1 % of return was accompanied by nearly twice the risk, a standard deviation of 14.99 % and a peak to trough loss (Max DD) of more than 50 %.

Because of the asset correlations, the total portfolio risk, or standard deviation, is lower than what would be calculated by a weighted sum.

During the 1978 - 2017 time frame, the S&P 500 Index returned 11.81 % with a risk factor of 15.20 %, as measured by standard deviation, whereas the Barclays Bond Index returned 6.99 % with a standard deviation of only 4.19 %.

The chart shows that the annualized standard deviation of the least popular quartile was 20.18 %; the most popular quartile, by comparison, actually had a much higher annualized standard deviation of 28.35 % — suggesting that this measure of unpopularity actually gives higher returns with less risk.

Shifting 40 % of the portfolio into bonds reduced portfolio standard deviation from 16.57 % to 11.49 %.4 Portfolio risk declined by 30 % and yearly returns fell into a tighter range between -13 % and +33 %.

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

[The fund's managers] earned customers an average of 6.8 % a year over the past decade, better than 98 % of their fund's Morningstar peers — and with roughly 25 % less risk, as measured by standard deviation.

Bonds typically have much lower volatility (measured by the standard deviation of their returns) than stocks, which make them suitable for the more risk - averse investors.

Low Volatility: This is the ultimate risk measurement as gauged by the standard deviation of returns.

And they do all this without having higher risk, as measured by beta or standard deviation or adverse states of the world.

To show a relationship between excess return and risk, this number is then divided by the standard deviation of the portfolio's annualized excess returns.

But the real impact is in the risk reduction we see in the form of much lower volatility as measured by standard deviation at 9.48 percent.

It is calculated by subtracting the risk - free rate from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns.

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.

You can find the standard deviation for any fund or ETF by clicking on the Ratings & Risk tab on its Morningstar page.

Standard Deviation (StdDev (x)-RRB- Now that we have calculated the excess return from subtracting the risk - free rate of return from the return of the risky asset, we need to divide this by the standard deviation of the risky asset being mStandard Deviation (StdDev (x)-RRB- Now that we have calculated the excess return from subtracting the risk - free rate of return from the return of the risky asset, we need to divide this by the standard deviation of the risky asset being Deviation (StdDev (x)-RRB- Now that we have calculated the excess return from subtracting the risk - free rate of return from the return of the risky asset, we need to divide this by the standard deviation of the risky asset being mstandard deviation of the risky asset being deviation of the risky asset being measured.

As noted above, standard deviation by itself is only the first step in estimating the true risk of permanent loss.

Doing this «correctly» substantially squeezes out risk (as measured by standard deviation), while not compromising returns very much.

• Risk as measured by monthly standard deviation (s).

The calculations display a number that represents how much the active manager's returns exceeded its proper passive benchmark, adjusted for risk (measured by standard deviation).

A measure that indicates the average return minus the risk - free return divided by the standard deviation of return on an investment.