Sentences with phrase «tracking error relative»

«They have no impact on a fund's total return or on its tracking error relative to an index.»

We find that a smart beta strategy diversified across factors substantially reduces tracking error relative to the average of the single - factor strategies, and dynamic rebalancing materially increases expected return relative to rebalancing to equal weights.

Implementation issues encountered in designing low - volatility investment strategies include unwelcome concentrations in certain regions, countries, and economic sectors; the combination of low liquidity and high turnover, raising implicit trading costs; and high tracking error relative to broad capitalization - weighted market benchmarks.

But, for investors willing to assume higher tracking error relative to traditional market capitalization - weighted benchmarks, a multifactor approach, such as the WisdomTree U.S. Multifactor Fund, has the potential to enhance returns, while providing greater factor diversification and thus, may lower volatility compared to single - factor approaches.»

Outside of this period, these strategies mostly delivered tracking error relative to a broad index like the S&P 500.

This may cause the fund to experience tracking errors relative to performance of the index.

Passive funds would begin to exhibit increased tracking errors relative to their benchmarks.

This may cause the fund to experience tracking errors relative to performance.

The Fund invests by sampling the Index, holding a range of securities that, in the aggregate, approximates the full Index in terms of key risk factors and other characteristics which may cause the fund to experience tracking errors relative to performance of the Index.

This may cause the fund to experience tracking errors relative to performance of the index.

This may cause the fund to experience tracking errors relative to performance of the Index.

Not exact matches

Tracking Error: A measure of the consistency or volatility (standard deviation) of excess returns relative to a benchmark.

I do not quite understand the discussions above about the relative merits of XSP vs IVV by focusing on tracking errors and MERs.

Many metrics in current use (e.g. Sharpe Ratio, tracking error, information ratio) compare a unit of return to a unit of portfolio volatility, measured either on an absolute basis or relative to a benchmark.

If we must regularly assess performance, let's focus on performance relative to expectation distributions, such as a strategy's tracking error of returns relative to its benchmark.

For those clients with liability objectives, Ryan Labs manages fixed income portfolios that seek to reduce interest rate risk, tracking error, and surplus volatility versus a client's liability index or long duration benchmark relative to their liabilities.

Low beta or low volatility strategies have lower absolute risk than the market, but typically come at the cost of higher relative risk and low vol strategies tend to have higher tracking error, which represents the risk that the strategy deviates from the market for extended periods of time.

In doing this, it has experienced a large tracking error (9.5 %) relative to the S&P 500.

Lower relative risk would also be a reasonable expectation, experienced by lower tracking error and shorter periods of underperformance relative to the market.

For our US smart beta portfolios, we find that relative to systematic rebalancing, dynamic rebalancing slightly increases volatility and tracking error, but lowers drawdowns and the duration of periods of underperformance.