If we assume that the risk - free rate is a 3 - month US Treasury (10 - year US Treasury is also common) and equal to 1.50 %, the portfolio beta is 1.60 (60 % more systematic risk or
volatility than the benchmark), the benchmark has returned 10 % annualized, and the portfolio return is 20 %, we have:
Not exact matches
The
benchmark index for equity
volatility rose to more
than twice its level the day before, crushing bettors who'd gotten used to years of very low
volatility.
Let's look at the costs of an actively managed portfolio designed by a financial advisor to provide higher returns with lower
volatility than the corresponding
benchmark.
These risks may pose risks different from, or greater
than, those associated with a direct investment in the securities underlying the funds»
benchmarks, can increase
volatility, and may dramatically decrease performance.
Let's look at the costs of an actively managed portfolio designed by a financial advisor to provide higher returns with lower
volatility than the corresponding
benchmark.
Eight of the 60/40 SPY / multisector bond fund combinations had a higher seven - year performance
than the
benchmark 60/40 portfolio, but in all but one case they experienced larger losses in 2008 and higher
volatility.
A study Barry Feldman and Dhruv Roy, cleraly shows the BXM Index (CBOE S&P 500 BuyWrite Index), a
benchmark for an S&P 500 - based covered call strategy, had slightly higher returns and significantly less
volatility than the S&P 500 over a time period of almost 16 years, despite the fact that covered calls have a truncated upside in the short term.
Using a disciplined investment process and diversified strategies, we seek to generate consistent above
benchmark returns with lower
than average
volatility
Using a disciplined investment process, we seek to generate consistent above
benchmark returns with lower
than average
volatility.
RBC research found that U.S. dividend payers and dividend growers outperformed the S&P 500 between January 1994 and November 2015 by a modest margin and with
volatility only slightly less
than the
benchmark.
One of the objectives of low
volatility strategies is to provide higher risk - adjusted returns
than their respective
benchmarks over the long run, primarily by reducing drawdowns during market downturns.
It is well established that low
volatility strategies deliver higher risk - adjusted returns
than the broad - based, market - cap - weighted
benchmark over a long - term investment horizon.
In fact, a recent Fidelity survey found that many investors think index funds, which attempt to match a market
benchmark like the S&P 500 (before fees), are less risky
than active funds, which attempt to outperform a
benchmark.1 That may help explain why during 11 weeks of heightened market
volatility in 2015, investors bought index funds but sold active funds at seven times the average rate during nonvolatile weeks.2
A beta greater
than 1.00 indicates
volatility greater
than the
benchmark's.
You'd almost think that losing money, trailing the
benchmark and having higher -
than - normal
volatility would serve as automatic brakes limiting the size of the portfolio.»
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).