Sentences with phrase «standard deviation of returns»

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

The volatility of both portfolios, measured as annualized standard deviation of returns, was comparable.

Annual standard deviation of return for the fund calculated over a three - year period.

Generic measures of risk such as standard deviation of returns, beta, etc. are unstable.

Exhibit A comes from Pyramis Global Advisors: their research looked at data from 1990 through 2009 and found that a fully unhedged portfolio had the lowest volatility: hedging half the foreign currency increased the annual standard deviation of returns, and hedging all the currency bumped it even higher.

This statistical simulation runs thousands of individual scenarios based upon the forecasted, pre-tax expected returns and the anticipated standard deviation of returns of the hypothetical, back - tested investment portfolio.

In investing, measuring standard deviation of returns shows the extent to which returns (daily, monthly or annual) are distributed around the average return, estimating a range of probable outcomes and establishing a likely framework of risk and return trade - offs.

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.

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.

In general this is true, and helps to explain why measures like beta and standard deviation of returns do not measure risk, and are not...

Timmer: You know, the last two years until the January high, were really extraordinary times for the market, and I fear that investors got spoiled by that, because the S&P was up I think 52 % in two years and in 2017 the volatility — the standard deviation of those returns — was at an all - time low of 3.9.

The standard deviation of a fund's return divided by the standard deviation of return for the average fund.

Ideally, investors want to take three factors into account in portfolio construction: the expected return for each asset, the expected risk (normally expressed as the standard deviations of return) and the co-movement of each asset.

The standard deviation of a fund's return divided by the standard deviation of return for the average fund in the fund's category.

Key performance metrics are annualized average gross return, annualized standard deviation of returns, annualized gross Sharpe ratio (assuming risk - free rate 0 %) and maximum drawdown.

The theory is that, using relationships between risk and return such as alpha and beta, and defining risk as the standard deviation of return, an «efficient frontier» for investing can be identified and exploited for maximum gain at a given amount of risk.

Since 2000, the standard deviation of returns for the S&P 500 has been about 16, which is high when compared to the volatility of the Barclays Capital Bond Index (3.6) or to T - Bills (just.06)(Source: Bloomberg).

Take a set of 5 - year annual returns, and calculate the annualized standard deviation of returns (using monthly deviations and annualizing them is informative).

The above historical performance figures from Morningstar indicate that the fund had a higher volatility (expressed as a standard deviation of returns) and underperformed the S&P 500 ® index, its best - fit benchmark, on a risk - adjusted basis (Sharpe Ratio) in both the three - and five - year trailing periods.

Metrics such as the standard deviation of returns and value at risk are more absolute - risk measures, while beta and the Sharpe ratio give a sense of risk / return versus a given benchmark.

Historical returns and the standard deviation of returns from various asset categories helped inform the allocation for each investing style.

That's because the standard deviation of returns changes over time, as does the correlation between asset classes.

Standard deviation of returns (a measure of volatility) for the strategy was 23.6 % vs. 13.1 % for the S&P / TSX Composite.

On the flip side, if the returns are smoothed through these accounting methods, the standard deviation of returns would drop, which is a bigger effect than the correlation effect.

In The Only Guide to Alternative Investments You'll Ever Need: The Good, the Flawed, the Bad and the Ugly, author Larry Swedroe questions claims that covered calls are less risky (when risk is measured by the standard deviation of returns) than long - only portfolios.

While the analyzed portfolio's volatility, measured as the annualized standard deviation of returns, was slightly higher than that of the reference ETF portfolio, the RealBeta ™ of the analyzed portfolio was significantly lower that that of the broad - based equity ETF.

The fund added a miniscule amount of value over the static reference portfolio but did so at the expense of slightly higher volatility (standard deviation of returns).

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.

Another thing worth noting is that while the strategy's standard deviation of returns is slightly higher than those of the S&P 500, the downside deviation (measure of the variability of negative returns) is 8.9 % relative to the benchmark's 9.4 %.

Volatility is the degree of variation of a trading price series over time as measured by the standard deviation of returns.

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

Since the standard deviation of returns is commonly used as a measure of portfolio risk, a High volatility measurement indicates that holding the motif in the past subjected the holder to higher fluctuations.

Ideally, investors want to take three factors into account in portfolio construction: the expected return for each asset, the expected risk (normally expressed as the standard deviations of return) and the co-movement of each asset.

So the rough scheme I've presented aligns fairly well with the common measure of risk, standard deviation of returns.

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.

While papers providing evidence against the risk - based explanation seem to test the effect of systematic risk on the value premium, others that focus on standard deviation of returns or analysts» forecasts (a proxy for total risk) seem to find better support for a risk - based explanation.

The standard deviation of returns is highest for cheap valuations and negative momentum.

Now, relative to the standard deviation of returns the weighted average portfolio did well.

The volatility of a pair is measured by calculating the standard deviation of its returns.

And it's not just the absolute returns that are similar — the risk, as measured by the standard deviation of return, is also virtually identical for the two strategies..»

Hold a bond to its maturity, and the standard deviation of returns is low, over the full time horizon.

An effective and common method to measure the deviation of investment returns from the average is the standard deviation of returns.

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

We first determine the excess return over a benchmark (the alpha) then determine the regularity of the excess returns by calculating the standard deviation of those returns.

The Sharpe ratio is a simple, but effective, measure of risk - adjusted return comparing an investment's excess return over the risk - free rate to its standard deviation of returns.