Sentences with phrase «tracking error volatility»

It managed this active return with a market tracking error volatility of only 5.9 %, realizing an information ratio of 0.63, much higher than the information ratio of 0.42 realized on the tracking error of the unconditional long - only value strategy.

High tracking error volatility indicates a high degree of active management.

While tracking error volatility makes sense and is easy to calculate, it only infers what the manager is doing in the portfolio and does not actually look at the underlying holdings.

One such method, tracking error volatility, measures the standard deviation of the difference between a manager's returns and the index returns.

The long side outperformed the market by 35 basis points per month, with a tracking error volatility of only 5.7 percent, for a realized information ratio of 0.75.

Not exact matches

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

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.

Consistent with this, we primarily view risk as not meeting this objective, rather than measures of volatility (or tracking error).

Rigorous active risk management including alpha - adjusted tracking error and stop loss rule (During periods of market volatility we may temporarily suspend the stop loss rule)

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.

The effect of constraints on the ratios of excess return to volatility and value added to tracking error can be seen in Figure 1.

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.

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.»

All volatility, beta, and tracking error expectations are based upon an exponential decay - weighted estimation of recent volatility, beta, and tracking error and are not a guarantee of future volatility, beta, or tracking error.

Extra volatility does lower compounded returns over the long run, but I doubt that it is as much as the tracking errors that CC reports.

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.

Our stylized portfolios that blend six factors (volatility, value, quality, size, momentum, and dividend yield) with four different strategies (marginal risk contribution, minimum variance, Sharpe - ratio weighted, and equity weighted) demonstrated higher risk - adjusted returns than the S&P 500 ®, with a lower tracking error than most single - factor strategies (see Exhibit 1).

The chart below plots the tracking errors at various levels of exposure to the S&P 500 Low Volatility index.

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.