Sentences with phrase «volatility measures including»

Our paper examines a comprehensive suite of volatility measures including actual volatility, volatility implied by option pricing, beta, credit default spreads, preferred stock yields and earnings price ratios.

Not exact matches

Yet, while duration is higher by one year, the maximum monthly volatility is about the same; neither exceeds 2.5 % for the period measured, a period that includes some of the most volatile bond market conditions since the 1970s.

Canadian stocks (as measured by the S&P / TSX 60 Index), on the other hand, had returned 3.72 percent and 8.45 percent respectively during the same time periods albeit at a much higher volatility including a significant stock market crash.

We did not include quality measures related to the quality of corporate governance or practitioner - oriented measures of investment quality, e.g., earnings - to - price ratios or low volatility.

Originally developed by Mr. Wilder, the ATR indicator measures volatility of any financial instrument, including forex.

This is true using a variety of risk measures, including volatility.

Investors are so keen for their fund managers to maintain a steady, smooth investment return that conventional risk measures now include volatility.

Common risk measures in equities include the volatility of price return and beta measuring price sensitivity to market.

Beta becomes a less valuable measure of volatility if calculation methodology does not match investor needs, if correlation to the benchmark index is low or if tail events are incorrectly included or excluded from calculation.

Key Metric # 1 (shown in the Key Metrics section of this report) includes a measure of rate volatility using a 10 - point scale.

The other outcome measures are not included due to volatility in measurement (counties with small populations see large changes in their rates) or changes in how the indicator is measured over time (the MAP tests have not remained consistent in the last several years).