Sentences with phrase «volatility of a bond index»

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The chart shows the number of transactions in Treasury bonds divided by the MOVE index, or Merrill Lynch Option Volatility Estimate, which measures Treasury market vVolatility Estimate, which measures Treasury market volatilityvolatility.

The MOVE index — which looks at the volatility of bonds — surged after the election, as the sell - off and shakiness in fixed income came to a head.

His expectation is that the overall volatility of a portfolio 30 percent in short - term bonds and 70 percent in stocks is going to be on par with one that is 40 percent invested in a fund tracking the Bloomberg Barclays U.S. Aggregate index and 60 percent in stocks.

The bank's MOVE Index of volatility in the world's largest bond market was at 82.7 on May 29, up from 75.3 at the end of April and compared with an average of 77.6 over the past five years.

The MOVE Index tracks the volatility of Treasury bonds.

• 12 + underlying investment managers • 8 — 10 % target rate of return • 4 — 6 % target volatility (1/3 of TSX TR Index *) • Low correlation to equities and bonds

The fund adjusts its allocations daily based upon equity and bond market volatility, correlation between the bond and equity indexes, and the yield - to - maturity of the bond index.

The common element is that any long position taken in a specific equity is offset by a short position in either a merger partner (risk arbitrage), an «overvalued» member of the same sector (long / short paired trading), a convertible bond (convertible arbitrage), a futures contract (index arbitrage) or an option contract (volatility arbitrage).

They are designed to track the performance of sectors, commodities, bonds, currencies, indices and measures of volatility.

With years of experience trading treasuries, agency bonds, currencies, commodities, interest rates, volatilities and all types of derivatives and structured products, LakeBTC is dedicated to building a bitcoin platform for pricing, liquidity, security, derivatives and indexes.

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.

While this only goes back to 1999, it would still be insightful to compare these two indexes on a year by year and aggregate basis for total return and volatility to get a true sense of the difference that treasury bond duration makes.

All markets will continue to focus on the volatility in the equity and bond markets, geopolitical events, developments with the Trump Administration, corporate earnings, oil prices, and will turn to this afternoon's Commitment of Traders Report, followed by reports Monday on Chinese PMI, German CPI and Retail Sales, US Personal Income, Personal Spending, PCE, Chicago PMI, Pending Home Sales, and the Dallas Fed's Manufacturing Index for near term direction.

From 1980 through 2017, a theoretical index portfolio with equal amounts of Canadian bonds, Canadian stocks, U.S. stocks and international stocks returned 10.3 % annually with a standard deviation — a measure of volatility — of 11.6 %.

Bond yield spreads are very highly correlated with the implied volatilities of stocks, and the yield spreads on bond indexes are highly correlated with the implied volatility on broad market equity indexes, like the Bond yield spreads are very highly correlated with the implied volatilities of stocks, and the yield spreads on bond indexes are highly correlated with the implied volatility on broad market equity indexes, like the bond indexes are highly correlated with the implied volatility on broad market equity indexes, like the VIX.

The back - tested results of the 17 - year period ending Feb. 28, 2017, show that the S&P U.S. High Yield Low Volatility Corporate Bond Index may offer an intersection that bridges the volatility gap between the high - yield and investment - grade bond sectors, with increased return eVolatility Corporate Bond Index may offer an intersection that bridges the volatility gap between the high - yield and investment - grade bond sectors, with increased return efficieBond Index may offer an intersection that bridges the volatility gap between the high - yield and investment - grade bond sectors, with increased return evolatility gap between the high - yield and investment - grade bond sectors, with increased return efficiebond sectors, with increased return efficiency.

Historically, a broadly diversified portfolio of stocks (now easily obtained with one or two index mutual funds) has usually provided much higher long - term returns than bonds or cash, but with inevitable, dramatic ups and downs (volatility) that can be very stressful.

The modest total return of the S&P Municipal Bond Index (0.77 %) in 2016 masked an atypical year of volatility for the normally staid market place.

A study of the index returns revealed two interesting facts on the Chinese bond market volatility.

We also compared the five - year annualized volatilities of the S&P Pan Asia Bond Index (denominated in USD) with other major bond markets, such as the U.S. treasury, U.S. investment grade corporate, U.S. high yield corporate, Eurozone sovereign and Australian bond markets, see the exhibit beBond Index (denominated in USD) with other major bond markets, such as the U.S. treasury, U.S. investment grade corporate, U.S. high yield corporate, Eurozone sovereign and Australian bond markets, see the exhibit bebond markets, such as the U.S. treasury, U.S. investment grade corporate, U.S. high yield corporate, Eurozone sovereign and Australian bond markets, see the exhibit bebond markets, see the exhibit below.

A volatility analysis was run on the local currency denominated bonds of the 10 countries that tracked by the S&P Pan Asia Bond Index, which are China, Hong Kong, India, Indonesia, Korea, Singapore, Malaysia, Philippines, Taiwan and Thailand.

Using the 10 - year U.S. Treasury Bond yield as the proxy for interest rates, Exhibit 1 shows the historical performance of the S&P 500 Low Volatility and S&P 500 indices in periods of significantly increased interest rates.

Using the most recent full cycle dating back to 2007 as a guide, a hypothetical portfolio of 60 % global stocks and 40 % Canadian bonds slightly edged the S&P / TSX Composite Index's cumulative return, but with almost half the amount of volatility (see the chart below).

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

The fund adjusts its allocations daily based upon equity and bond market volatility, correlation between the bond and equity indexes, and the yield - to - maturity of the bond index.

DMRM combines US midcap exposure (the S&P Midcap 400 Index), mid-term bonds (5 - year Treasuries), and cash - equivalents (T - bills), with the aim of limiting volatility.

The S&P / BGCantor U.S. Treasury Bond Index, which tracks over USD 7 trillion of outstanding treasury debt, responded to October's equity volatility with investors moving toward quality.

They consider four potential predictors: (1) the default spread (between Moody's BAA and AAA rated bonds); (2) the broad stock market dividend yield; (3) the implied volatility of the S&P 500 Index (VIX); and, (4) the monthly net aggregate flow into the hedge fund industry.

They focus on net fund alphas, meaning after - fee returns in excess of the risk - free rate, adjusted for exposures to three kinds of risk factors well known at the start of the sample period: (1) traditional equity market, bond market and credit factors; (2) dynamic stock size, stock value, stock momentum and currency carry factors; and, (3) a volatility factor specified as monthly returns from buying one - month, at ‐ the ‐ money S&P 500 Index calls and puts and holding to expiration.

Some of those risks include general economic risk, geopolitical risk, commodity - price volatility, counterparty and settlement risk, currency risk, derivatives risk, emerging markets risk, foreign securities risk, high - yield bond exposure, noninvestment - grade bond exposure commonly known as «junk bonds,» index investing risk, industry concentration risk, leveraging risk, market risk, prepayment risk, liquidity risk, real estate investment risk, sector risk, short sales risk, temporary defensive positions, and large cash positions.

The common element is that any long position taken in a specific equity is offset by a short position in either a merger partner (risk arbitrage), an «overvalued» member of the same sector (long / short paired trading), a convertible bond (convertible arbitrage), a futures contract (index arbitrage) or an option contract (volatility arbitrage).

For reference, the volatility target is about a third of the historical volatility of the U.S. stock market and roughly the same as the historical volatility of the Barclays Aggregate Bond Index (though in recent years the bond index's volatility has dropped to about 3Bond Index (though in recent years the bond index's volatility has dropped to about Index (though in recent years the bond index's volatility has dropped to about 3bond index's volatility has dropped to about index's volatility has dropped to about 3 %).

Similarly, adding a 10 % listed property allocation to the equity portion of a 60 % S&P / NZX 50 and 40 % S&P / NZX Composite Investment Grade Bond Index portfolio resulted in a further reduction in volatility and higher risk - adjusted return over the trailing five - year period.

Even though the S&P 500 Bond Index offered the best risk - adjusted return on a stand - alone basis, we see that the blend of stocks and TIPS captured most of the upside of the S&P 500 with a fraction of the volatility.

In the construction of the S&P U.S. High Yield Low Volatility Corporate Bond Index, an individual bond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see EquationBond Index, an individual bond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equationbond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equationbond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equation 1).

Only one out of the five quintiles demonstrated a higher annualized return than the U.S. Aggregate Bond Index, and none outperformed the U.S. Aggregate Bond Index in terms of return per unit of volatility.

On average, unconstrained bond funds delivered lower return and lower return per unit of volatility than the U.S. Aggregate Bond Index and higher return than the Global Aggregate Bond Inbond funds delivered lower return and lower return per unit of volatility than the U.S. Aggregate Bond Index and higher return than the Global Aggregate Bond InBond Index and higher return than the Global Aggregate Bond InBond Index.

Despite the recent increase, the volatility of Chinese bonds remained comfortably low and below the average volatility of Asian bonds represented by the S&P Pan Asia Bond Index.

The reduced volatility of the S&P U.S. Treasury Bond 7 - 10 Year Index (TTM JPY Hedged) is further demonstrated in Exhibit 2; the volatility of the hedged index was approximately half that of the unhedged version over the one -, three -, and five - year perIndex (TTM JPY Hedged) is further demonstrated in Exhibit 2; the volatility of the hedged index was approximately half that of the unhedged version over the one -, three -, and five - year perindex was approximately half that of the unhedged version over the one -, three -, and five - year periods.

Shorter duration, high - yield bonds, such as those captured in the S&P 0 - 3 Year High Yield Corporate Bond Index, are up 0.09 % MTD and 1.85 % YTD (as of March 13, 2015), as investors move down the curve in order to reduce rate volatility and term risk exposure.

Though static allocation of VIX futures can reduce portfolio volatility and offer downside protection compared with the broad - based, unhedged S&P U.S. High Yield Corporate Bond Index, it can drag down portfolio performance significantly, due to the high cost of rolling VIX futures.

The S&P U.S. High Yield Low Volatility Corporate Bond Index (the HYLV index) was launched on Dec. 20, 2016, with the aim of capturing high yield bonds with less credit risk and lower return volatility than the broad investment universe of U.S. high yiVolatility Corporate Bond Index (the HYLV index) was launched on Dec. 20, 2016, with the aim of capturing high yield bonds with less credit risk and lower return volatility than the broad investment universe of U.S. high yield bIndex (the HYLV index) was launched on Dec. 20, 2016, with the aim of capturing high yield bonds with less credit risk and lower return volatility than the broad investment universe of U.S. high yield bindex) was launched on Dec. 20, 2016, with the aim of capturing high yield bonds with less credit risk and lower return volatility than the broad investment universe of U.S. high yivolatility than the broad investment universe of U.S. high yield bonds.

The update to the question about «nearing retirement age» makes a well structured ladder of inflation - indexed bonds sound like a good fit for someone with a low tolerance for volatility who is willing to sacrifice the possibility of growth in exchange for stability and predictability.

One thing you could do to help with volatility would be to put a portion of your portfolio in the Vanguard Total Bond Market Index fund (VBMFX).

Our research on the Fundamental Index ® concept, as applied to bonds, underscores the widely held view in the bond community that we should not choose to own more of any security just because there's more of it available to us.10 Figure 9 plots four different Fundamental Index portfolios (weighted on sales, profits, assets and dividends) in investment - grade bonds (green), high - yield bonds (blue) and emerging markets sovereign debt (yellow).11 Most of these have lower volatility and higher return than the cap - weighted benchmark (marked with a red dot).

Core real estate, as represented by the National Council of Real Estate Investment Fiduciaries Property Index, tends to have similar volatility to corporate and government bonds with a higher return over the long term.