Sentences with phrase «systematic volatility risk»

Not exact matches

Beta is a measure of the volatility, or systematic risk, of a security or a portfolio, in comparison to the market as a whole.

Investors had grown fearful of systematic selling — and no doubt weary of the «everything bubble» — but that sentiment was covert, not overt — while concern was building, volatility targeting strategies no doubt followed January's melt - up into even more risk.

Anecdotally, broad knowledge about the risk of systematic selling kept many investors fearful and waiting on the sidelines (both in equity and volatility markets).

There are many types of risks and here are few examples: Credit Risk, Interest Rate Risk, Volatility Risk, Settlement Risk, Market Risk, Liquidity Risk, Country Risk, Operational Risk, Model Risk, Currency Risk, Legal Risk, Systematic Risk and many other risks.

This highly flawed concept, widely taught in MBA and financial engineering programs, perceives volatility as an exogenous measurement of risk, ignoring its role as both a source of excess returns, and a direct influencer on risk itself... Systematic strategies are based on market volatility as a key decision metric for leverage... The majority of active management strategies rely on some form of volatility for excess returns and to make leverage decisions.

• A beta of 1 indicates that the portfolio will move in the same direction, have the same volatility and is sensitive to systematic risk.

Systematic risk, or market risk, is the volatility that affects many industries, stocks and assets.

A close cousin of alpha, beta, is designed to measure systematic risk or volatility.

If we assume that the risk - free rate is a 3 - month US Treasury (10 - year US Treasury is also common) and equal to 1.50 %, the portfolio beta is 1.60 (60 % more systematic risk or volatility than the benchmark), the benchmark has returned 10 % annualized, and the portfolio return is 20 %, we have:

Systematic risk, also known as «undiversifiable risk,» «volatility,» or «market risk,» affects the overall market, not just a particular stock or industry.

Systematic Transfer Plan (STP): STP helps in mitigating the risk arising from volatility in equity markets by averaging out your cost of purchase of units.