Sentences with phrase «study factor returns»
We construct factor portfolios to measure and study factor returns.
https://www.researchaffiliates.com/ Not exact matches
Studies of the U.S. stock market indicate that some factors and indicators may have predictive power for future returns.
Several recent studies have shown that cells can be returned to pluripotent state using «defined factors» (specific proteins that control which genes are active in a cell), a technique pioneered by Dr. Shinya Yamanaka, a professor at Kyoto University in Japan.
Nine Keys to Student Achievement and Cost - Effectiveness The first large - scale national study to identify and prioritize the factors that make some technology implementations perform dramatically better than others, demonstrate that schools employing a 1:1 student computer ratio and the key implementation factors outperform other schools, and reveal significant opportunities for improving education return on investment (ROI) by transforming teaching and learning.
The report Factor Risk Premia in the Indian Market, published by S&P Dow Jones Indices, studies the risk / return characteristics of common risk factors in the Indian equity market.
However, as a result of investors» pursuit of better - diversified portfolios and a recognition that systematic risk factors explain the majority of returns, the development of commodity alternative beta products is gathering pace... From our investigation in this study, there appears to be potential benefit in allocating into alternative beta strategies as part of a portfolio's commodity allocation, and we find that combining risk - based and factor - based commodity strategies has historically delivered higher return and lower risk than passive long - only strategies on their own.»
Factors are stock characteristics that studies have identified as being correlated with superior total returns over long time periods.
Multiple empirical studies show that these factors have exhibited excess returns above the market.
Statistically, the problem with this study is that it ignores the effect of outside factors that affect both turnover and returns, and therefore profoundly mis - measures the relationship between the two.
Fama - French conducted studies to test their model, using thousands of random stock portfolios, and found that when size and value factors are combined with the beta factor, they could then explain as much as 95 % of the return in a diversified stock portfolio.
The average annualized factor return in the United States over our study period July 1973 — September 2016 is 4.86 %.
Most strategies earn an excess return over the market benchmark, but in each of the international markets we study, a couple of the factor - based smart beta strategies generate mildly negative value - add.
The academic studies show that price momentum is an important factor in market returns, and many investors with good returns use momentum.
But the other five funds hardly show exemplary results, even though the momentum factor has delivered a return of nearly 5.0 % a year since the start of our study in 1990, and over 3.0 % a year since the March — September 2009 momentum crash.
In this study, we run the impact model with a set of 11 different reduction factors between 5 % and 95 % applied to the return period (i.e., the average recurrence interval) of simulated discharge peaks.
This study assessed the prevalence and correlates of alcohol misuse and the factors associated with treatment utilization among recently returned National Guard service members.
In 2010, more than 1 in 5 children were reported to be living in poverty.6, 10 Economic disadvantage is among the most potent risks for behavioral and emotional problems due to increased exposure to environmental, familial, and psychosocial risks.11 — 13 In families in which parents are in military service, parental deployment and return has been determined to be a risk factor for behavioral and emotional problems in children.14 Data from the 2003 National Survey of Children's Health demonstrated a strong linear relationship between increasing number of psychosocial risks and many poor health outcomes, including social - emotional health.15 The Adverse Childhood Experience Study surveyed 17000 adults about early traumatic and stressful experiences.
Several longitudinal studies have indicated that returning to full - time work after a brief maternity leave was a risk factor that compromised maternal mental health (depression and anxiety), especially when shorter leaves coincided with maternal fatigue, poor general health, poor social support, marital concerns, and other risk factors.17, 18 When mothers in the Wisconsin Maternity Leave and Health Study were contacted one year after they had given birth, no significant differences were noted between home - makers, part - time, and full - time employed women in measures of mental health such as depression, anxiety and self - esteem.