Sentences with phrase «standard deviation of monthly returns in»

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.

Not exact matches

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].

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.

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.

When comparing the performance of two indexes, the tracking error is the standard deviation of the differences in their monthly returns.