Sentences with phrase «standard deviation of monthly returns»

The fund's volatility, measured as an annualized standard deviation of monthly returns, was about 10 % above that of the reference portfolio.

Using Top 1 generates a slightly lower average monthly return and a slightly higher standard deviation of monthly returns.

For this sample, Top 1 has the lowest average monthly return and a middle - of - the - pack standard deviation of monthly returns.

The volatility of the reference portfolio, measured as the annualized standard deviation of monthly returns, was slightly higher than that of the fund.

However, the fund's volatility (measured as standard deviation of monthly returns) was higher than that of the reference ETF portfolio.

Volatility represented by annualized standard deviation of monthly returns for Institutional shares, all other share classes will vary, from first month - end after inception (2/28/89).

• Will display portfolio statistics like correlation coefficients, average / median / minimum / maximum rates of return over the selected time frame, along with standard deviation of monthly returns, Beta, Alpha (Jensen), R - squared, Treynor Ratio, and Sharpe Ratio, and all of that.

They calculate return momentum for each asset as the weighted sum of its past monthly returns (up to 11 months) divided by the normalized standard deviation of those monthly returns.

At about 15 %, the fund's volatility, measured by an annualized standard deviation of monthly returns in the entire analysis period, was slightly lower than that of the overall stock market.

Since the Fund's launch in 1989, investors have doubled their money every 10 years, no matter when they bought the fund... The fund has outperformed global equities with 1/3 less risk [based on annualized standard deviation of monthly returns for Institutional shares from 2/28/89 to 12/31/13, compared to the FTSE World Index].

Volatility refers to annualized standard deviation of monthly returns for the time period noted.

Monthly reward / risk is the ratio of average monthly return to standard deviation of monthly returns.

The following table compares average monthly returns, standard deviations of monthly returns, monthly reward / risk (average divided by standard deviation), compound annual growth rates (CAGR) and maximum drawdowns (MaxDD) for the six ETFs above over the available sample period of 16.5 years.

Similarly to its predecessors, the fund failed to outperform its reference ETF portfolio which had a slightly smaller volatility, measured as the standard deviation of monthly returns.

Its cumulative return was lower and the volatility (measured as a standard deviation of monthly returns) higher than those of its reference ETF portfolio.

The volatility of the fund, measured as the standard deviation of monthly returns, was approximately 0.35 % higher than that of the reference ETF portfolio.

The volatility of the fund, measured by the standard deviation of monthly returns, was slightly higher than that of the reference ETF portfolio.

The fund's volatility, measured as a standard deviation of monthly returns, was comparable to that of the reference ETF portfolio.

The volatility of the reference portfolio, measured as the standard deviation of monthly returns, was slightly below that of the fund.

The fund cumulatively returned 8.6 % less than the reference portfolio and did so with a higher volatility, measured as the standard deviation of monthly returns.

Either ETF outperformed the fund in terms of the higher annualized return, alpha, Sharpe and Sortino ratios, as well as the lower beta and standard deviation of monthly returns.

The fund subtracted value compared to its reference ETF portfolio that had a similar volatility, measured as the standard deviation of monthly returns.

• Average, median, minimum, maximum rates of return over the selected time frame, along with the standard deviation of monthly returns.

The fund's volatility, measured as the standard deviation of monthly returns, was higher than than of the reference ETF portfolio.

The Levy - Gunthorpe standard deviation is superior to calculating the annualized standard deviation of returns as the product of the standard deviation of the monthly returns multiplied by the square root of 12.