Sentences with phrase «standard deviation of returns do»

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...

Not exact matches

Standard deviation does not indicate how an investment actually performed, but it does indicate the volatility of its returns over time.

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

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

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.

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).

How do the 60/40 vs. 40/60 compare in terms of standard deviation, downside capture, and risk to return (Sharpe)?

Standard deviation does not indicate how an investment actually performed, but it does indicate the volatility of its returns over time.

For implied volatility it is okey to use Black and scholes but what to do with the historical volatility which carry the effect of past prices as a predictor of future prices.And then precisely the conditional historical volatility.i suggest that you must go with the process like, for stock returns 1) first download stock prices into excel sheet 2) take the natural log of (P1 / po) 3) calculate average of the sample 4) calculate square of (X-Xbar) 5) take square root of this and you will get the standard deviation of your required data.

Also, note the observation that the long - term Treasury fund, with no credit risk but large term risk, has a higher standard deviation of annual returns than does the high - yield corporate bond fund, which has significant credit risk but much less term risk.

Risk adjusted returns would favor municipal bonds as equities have done it the hard way with a standard deviation (a measure of volatility) of over 2.6 % while munis have seen a standard deviation of under 1 %.

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

All we can do is statistically analyze the data we have to make a prediction of the expected annualized return in the future and the standard deviation around that return (aka the risk).