Sentences with phrase «roll return»

The index's three - year rolling returns reveal the consistency of the index's risk - adjusted return.

A comparison of rolling returns provides limited insights into a fund's performance because it does not take into account exposures or volatility.

Earlier this week I posted a handful of graphs that showed rolling returns for the stock market over various time frames.

While comparisons of rolling returns provide useful statistics of the fund's returns over typical holding periods, they do not take the fund's exposures or risk into account.

A comparison of rolling returns over typical holding periods does not take into account the fund's exposures or volatility.

While a comparison of rolling returns assesses average relative performance over typical holding periods, it does not take the fund's volatility or exposures into account.

Looking at rolling returns can help investors better assess performance.

While trailing calendar periods only show returns for points in time, rolling returns present continuous overlapping increments to provide a more robust view of performance over time.

Traditional passive strategies can have naive construction rules that result in poorly diversified portfolios and negative roll returns.

They were instructed to stop rolling forwards when the foam roller reached the top of their knee and to reverse the direction so the foam roller returned to the start position.

Finally, rolling returns more accurately reflect actual investment patterns.

Compared to the 1 - year annual returns shown above, there are much less red bars in the 5 - year rolling returns.

Although useful, a comparison of rolling returns does not take the fund's volatility into account.

Consistent Outperformance When we chart 99 three - year rolling return periods (rolled monthly) for the S&P 500 Dividend Aristocrats Index since its inception (May 2005), we see it consistently outperformed the S&P 500 under almost all market conditions:

Looking back at 5 - year rolling returns since the mid-70s, notice how cyclical the equity market can be, too (FIGURE 2).

Let's start with rolling returns.

Once again, just to highlight the relative - price premium in the US, below shows the 10 - year annual rolling returns.

The following chart shows rolling return correlation of the AQR Managed Futures Strategy Fund (AQMIX) with the Vanguard Total Stock Market ETF (VTI) and the Vanguard Total Bond Market ETF (BND):

If we consider, 30 years of monthly rolling returns, on an average S&P BSE Sensex has delivered 16 % return with standard deviation of 1 %.

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«Identifying VXX / XIV Tendencies» finds that S&P 500 implied volatility index (VIX) futures roll return, as measured by the percentage difference in settlement price between the nearest and next nearest VIX futures, 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.

Rolling returns offer a more robust way to show performance than traditional one -, three -, five - and ten - year trailing returns.

Historically, three - year rolling returns revealed consistent outperformance from the S&P 500 ® Dividend Aristocrats ® Index, which is composed of quality companies with at least 25 consecutive years of dividend growth.

Please note that the youngest of these ETFs (GSG) determines the common time frame of this analysis: the first full month of GSG returns was August 2006, so the first 36 - month rolling return became available at the end of July 2009.

The left axis in the chart below depicts rolling returns of the 10 - City Composite Index on 1 - year, 3 - year, 5 - year, 7 - year, and 10 - year holding period durations.

The asset allocation backtesting tool calculates portfolio returns (end balance, CAGR, IRR), risk characteristics (standard deviation, Sharpe ratio, Sortino ratio, maximum drawdown), and rolling returns based on monthly data.

A comparison of rolling returns tries to approximate the average holding period of the fund.

Analyzing the S&P GSCI Crude Oil roll return for the period between January 1987 and November 2017 (a total of 370 observations) showed that during this period, daily oil production increased or decreased relatively equally.

Research Affiliates explains in plain language the dynamics of roll returns when the commodity futures curve slopes upward (contango) and downward (backwardation).

Source: FactSet Research Systems Inc, 3/31/1997 to 3/31/2018 for the investor class Rolling returns computed monthly, using 60 - month moving windows

Their principal goal is consistently positive returns, at least 95 % (99 %) of 1 - year rolling returns not below 0 % -LRB--5 %).

Average rolling returns over the one -, three -, and five - year periods show that, on average, the Q5 portfolio underperformed the Q1 portfolio by about 1.20 % (see Exhibit 3).

In a stressed market, the term structure can invert and create a negative roll return for the short position.

Rolling returns provide a more robust way to show performance than trailing returns.

When we chart 117 rolling return periods for the Dividend Aristocrats since its inception (May 2005), we see it consistently outperformed the S&P 500 under almost all market conditions.

While a comparison of rolling returns over simulated holding periods is instructive, it does not adjust for the fund's volatility or exposures to various factors.

Looking back at 5 - year rolling returns since the mid-70s, notice how cyclical the equity market can be, too (FIGURE 2).

Why look at rolling returns?

Rolling returns present numerous overlapping (rolling) increments, versus fixed trailing calendar periods that only let you see points in time.

Again, just to highlight the relative price premium in the US, below is a chart showing the historical 5 - year annual rolling returns.

Here's the one year rolling returns for long - term treasuries:

A comparison of rolling returns, which determines relative gains or losses of the fund over typical holding periods, does not adjust for the fund's volatility or exposures.

Here's the one year rolling returns for long - term -LSB-...]

Is the VIX futures roll yield (roll return) exploitable via exchange - traded products (ETPs) designed to track direct, levered or inverse VIX futures indexes?

As shown by the Rolling Returns service, in the same period growth outperformed value in about 90 % of all rolling 36 - month intervals, 67 % of 24 - month intervals, and 63 % of 12 - month intervals:

A rolling return comparison shows the average relative performance of the fund over typical holding periods.

Rebalancing, or roll return, is the difference in the price of the expiring contract and the next eligible contract.

Historically, three - year rolling returns have revealed consistent outperformance from the S&P 500 ® Dividend Aristocrats ® Index, which is composed of quality companies with at least 25 consecutive years of dividend growth.