Sentences with phrase «standard factor return»
They apply standard factor return decomposition found in the academic literature with the result that value and size are responsible for most of the outperformance.
https://www.researchaffiliates.com/ Not exact matches
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.
Using my desired asset allocation, we are looking at an average historical average real return (after inflation) of 8.8 % since 1970 with a standard deviation (the risk factor) of 17.3 %.
Speaking of stock selection methodologies, Richard Tortoriello of Standard & Poor's backtested more than 1,200 strategies to determine what factors were predictive of future «excess returns.»
During the 1978 - 2017 time frame, the S&P 500 Index returned 11.81 % with a risk factor of 15.20 %, as measured by standard deviation, whereas the Barclays Bond Index returned 6.99 % with a standard deviation of only 4.19 %.
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 formula is based on two straightforward meat and potato factors gathered from Standard & Poor's data: 1) the trailing Price / Earnings ratio on a stock (value factor); and 2) the Return on Capital ratio of a stock using historical earnings.
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.
Factors that could cause Blizzard Entertainment's actual future results to differ materially from those expressed in the forward - looking statements set forth in this release include, but are not limited to, sales of Blizzard Entertainment's titles, shifts in consumer spending trends, the seasonal and cyclical nature of the interactive game market, Blizzard Entertainment's ability to predict consumer preferences among competing hardware platforms (including next - generation hardware), declines in software pricing, product returns and price protection, product delays, retail acceptance of Blizzard Entertainment's products, adoption rate and availability of new hardware and related software, industry competition, rapid changes in technology and industry standards, protection of proprietary rights, litigation against Blizzard Entertainment, maintenance of relationships with key personnel, customers, vendors and third - party developers, domestic and international economic, financial and political conditions and policies, foreign exchange rates, integration of recent acquisitions and the identification of suitable future acquisition opportunities, Activision Blizzard's success in integrating the operations of Activision Publishing and Vivendi Games in a timely manner, or at all, and the combined company's ability to realize the anticipated benefits and synergies of the transaction to the extent, or in the timeframe, anticipated.
One major factor can blunt the harm of rising rates: the return to normal underwriting standards.