Return on Equity (ROE): Definition and Formula What is Return on Invested Capital (ROIC)? What Is a Reverse Stock Split? What Is Run Rate? What Is RevPAR? What Is a Realized Loss? What It Means and How It Works What Is R-Squared? What Is th...
Conversely, an r-squared of 0% indicates that there is no correlation between the performance movements of the portfolio and the benchmark. Russell 1000® Growth Index Measures the performance of those Russell 1000 Index companies (the 1,000 largest publicly traded U.S. companies, based on ...
R-squared (coefficient of determination, R2) - S - Sample Sample statistic (statistic) Sharpe ratio (Sharpe Index, Sharpe Measure) Specific risk (idiosyncratic risk, idiosyncratic volatility, stock specific risk) Spin-off (stock spin-off, corporate spin-off) Standard deviation (volatility...
Adjusted R-squared 0.463 0.497 0.395 0.462 0.442 0.374 This table presents the results of OLS regression models investigating the impact of firm-level political risk and corporate intellectual capital investment (ICI) by considering the cross-sectional heterogeneity. The sample consists of 3668 U.S fi...
Multiple R-squared: 0.05163, Adjusted R-squared:0.05154 F-statistic: 544.3 on 1 and 9998 DF, p-value: < 2.2e-16 The distributions clearly suffer fromheteroscedasticity, which can invalidate tests of statistical significance. To control for this, we also consider the relationship between the ranki...
2.1. Concept and definition of green investment In light of the conspicuous absence of a universally ratified definition, the imperative task of elucidating the concept of 'green investment' is set forth herein. To address this, it is necessary to establish a clear and precise conceptualization. ...
This isn't interpretable as the units are in returns-squared, so we translate it to correlation by dividing by the product of the two standard deviations. So to interpret, these two stocks had negative correlation, meaning as one moved up, the other moved down. These would be examples of ...
R-Squared (%) 94.14 83.62 82.83 Standard Deviation (%) 4.26 3.95 2.97 Sharpe Ratio -0.57 -0.17 0.19 Information Ratio 0.94 0.74 0.57 Up Capture (%) 94.43 104.77 94.51 Down Capture (%) 76.79 82.30 70.42 Past performance does not guarantee future results. Risk & Return Profile metrics are ba...
from stable ones. Modern portfolio theory uses five statistical indicators—alpha, beta, standard deviation, R-squared, and the Sharpe ratio—to do this. Likewise, the capital asset pricing model and value at risk are widely employed to measure the risk to reward tradeoff with assets and ...
Currently all in the money options are physical settled, in case of position is not squared up. Value of an option (premium) There are two types of factors that affect the value of the option premium: Quantifiable Factors: · underlying stock price · the strike price of the option · the...