Sentences with phrase «standard deviation of monthly returns for»
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].
https://alpholio.com/
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).
Not exact matches
Standard deviation is a measure of return volatility computed using monthly returns for the last three years.
We focus on gross compound annual growth rate (CAGR), gross maximum drawdown (MaxDD) and rough gross annual Sharpe ratio (average annual return divided by standard deviation of annual returns) as key performance statistics for the Top 1, equally weighted (EW) Top 2 and EW Top 3 portfolios of monthly winners.
The following chart shows rolling volatility (measured as a standard deviation of two years of monthly returns) and accompanying statistics for the portfolio:
She defines idiosyncratic volatility as the standard deviation of daily residuals from monthly regressions of returns (in excess of the risk - free rate) for each stock versus Fama - French model factors.
The point estimates suggest that the transitory components in stock prices have a standard deviation of between 15 and 25 percent and account for more than half of the variance in monthly returns.
For example, an investor can compare two portfolios with the same average monthly return of 5.0 %, but with different standard deviations.
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.
The 14.0 % monthly standard deviation of returns for the MAGNET Simple screen is the highest figure among all AAII stocks screens, tied with the Murphy Technology screen.