Sentences with phrase «volatility index relative»

In this blog, we continue the analysis to see if there is a relationship between the magnitude of interest rate change and magnitude of active return of the low volatility index relative to the S&P 500.

In this blog, we continue the analysis to see if there is a relationship between the magnitude of interest rate change and magnitude of active return of the low volatility index relative to the S&P Read more -LSB-...]

Based on the downside capture ratio of the MSCI Minimum Volatility indexes relative to their parent MSCI indexes, since the inception of each MSCI Minimum Volatility index.

Based on the downside capture ratio of the MSCI Minimum Volatility indexes relative to their parent MSCI indexes, since the inception of each MSCI Minimum Volatility index.

Not exact matches

Looking at monthly Bloomberg data from 1994 to the present, changes in the VIX Index, a measure of U.S. equity volatility, explain nearly 20 % of the variation in the relative return between gold and the S&P 500 Index.

The iShares Edge MSCI Min Vol Emerging Markets ETF seeks to track the investment results of an index composed of emerging market equities that, in the aggregate, have lower volatility characteristics relative to the broader emerging equity markets.

A stock with low beta might appear to lack volatility relative to a popular benchmark index, but R - squared below 0.5 indicates very limited correlation to that index.

SPMV is based on the S&P 500 Minimum Volatility Index, but offers some important differences relative to rivals such as the iShares Edge MSCI Min Vol USA ETF (NYSE: USMV) and the PowerShares S&P 500 Low Volatility Portfolio (NYSE: SPLV).

A measure of the fund's volatility relative to the market, as represented by the Citigroup World Government Bond Index.

The CNN Fear & Greed Index monitors seven market factors, including stock price momentum, stock price strength, stock price breadth, put and call options, junk bond demand, market volatility and safe haven demand, by calculating how far they have veered from their averages relative to how far they normally veer, on a scale of 0 to 100, with 0 indicating fear and 100 greed.

The volatility index price action relative to the equity market price action was pretty interesting last week.

This higher tendency toward the middle in expectations dampens the volatility of the index relative to the present conditions index.

Looking at volatility in the past year on the DXY index, which is a measure of the value of the U.S. dollar relative to a basket of major foreign currencies, we've seen an increase from 6 % to 12 %.

Advances in bond indexing are starting to arrive with screens for credit quality relative to yield; rate and currency hedging; volatility management; and more controlled exposure to interest rates and credit spreads.

The underlying indexes for the iShares minimum volatility ETFs have constraints on sector and country exposures relative to the parent indexes, so their diversification aims to approximate that of the broad market index.

A measure of the fund's volatility relative to the market, as represented by the Barclays Municipal Bond Index.

Vanguard Total Stock Index contains many, many mid - and even small - cap stocks that naturally increase the volatility of that fund as well as any portfolio relative to the S&P 500.

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.

I have dabbled in quantitative factor models in the past, and normally I start with an index, group by sector, and then compare each company relative to its sector (I use valuation metrics, liquidity, technical factors such as relative strength and price relative to moving averages, earnings volatility, earnings estimates revisions, balance sheet metrics, beta, and a proprietary risk / reward metric).

Writing index call options is designed to reduce the fund's volatility relative to U.S. equity securities and provide the fund with gains from premiums received.

The performance of an exchange - traded fund may vary from the market index it attempts to replicate due to market volatility, transaction costs, valuation differences, differences between the assets held in the exchange - traded fund's portfolio relative to the market index, and other factors.

This can be seen in the chart below, which depicts the relationship between the excess monthly return of dividend - paying stocks (represented by the S&P 500 Low Volatility High Dividend Index relative to the S&P 500 Index) to the monthly change in the 10 - year Treasury yield.

The expected value of a return is based on its volatility relative to the benchmark and the correlation to that index.

The CBOE Eurekahedge Volatility Indexes comprise four equally - weighted volatility indices 窶 ・ long volatility, short volatility, relative value and Volatility Indexes comprise four equally - weighted volatility indices 窶 ・ long volatility, short volatility, relative value and volatility indices 窶 ・ long volatility, short volatility, relative value and volatility, short volatility, relative value and volatility, relative value and tail risk.

Ditto for a portfolio of country index ETFs, but size your trading band relative to volatility, and limit your assets to developed and the largest emerging market countries.

The total risk index measures the relative return volatility of a fund over three years compared to all funds.

A measure of the fund's volatility relative to the market, as represented by the MSCI All Country World Index.

A measure of the fund's volatility relative to the market, as represented by the MSCI World Index.

The new indexes were created with a the goal «to track the performance of the underlying markets and provide relative performance and volatility metrics.»