Betameasures a security's volatility relative to that of the broader market. A beta of 1 means the security has a volatility that mirrors the degree and direction of the market as a whole. If the S&P 500 takes a sharp dip, the stock in question is likely to follow suit and fall by a...
The standard deviation of the market return is 22%. If the correlation between Stock A and the market is 0.50, then what is Stock A's beta? The standard deviation of stock returns for Stock A is 40%. The standard deviation of the market return is 20%. It the correlation between Stoc...
"At a high level, ETFs are used for 1) long-term asset allocation due to their low-cost exposure and tax efficiency as well as 2) the ability to quickly express short-term market views (e.g. long/short sectors, hedging positions, etc.). The past few days' events and price action h...
For this example, we will use data from the Spanish stock market IBEX 35 for 2005, plotted for a few months after the \(\log ({s}_{t}/{s}_{t-1})\) transformation in Fig. 2a. The standard deviation of this series is σ = 0.0063, and the noise filter r is usually ...
Like claimed,Balakrishna(2012), andStulz(2007) suggested that from 1994–2000, hedge funds underperformed in the stock market (S&P 500) However, after 2000, hedge funds began to consistently outperform stock markets. Hedge funds also exhibited lower levels of standard deviationLhabitant(2011);Marti...
Standard Deviation: % $1.00 grew to: $ S&P 500 returns (dividends included): Robert Shiller and Yahoo! Finance (Last year's data subject to revision.) The most significant pattern is this: Over the very long run, the stock market has had an inflation-adjusted annualized return rate...
The second most volatile year ever was 1933. Standard deviation was 53.9% but stocks rose a massive 52.9%.[iv] That starts to make sense when you understand that volatility is how much something deviates from its average—not some big bad thing that measures stock market downside. ...
In this paper, we estimated R/S ratio of several stock indexes of Indian market for 10 years. Though the overall Hurst exponent values for the selected series were close to 0.5, the value varied widely on period-to-period basis. The analysis of R/S ratio on a smaller window size of ...
TheS&P 500could resort to the lower end of an already tight trading range, according to BTIG chief market technician Jonathan Krinsky. Recent weeks have seen the benchmark index trade between 4,070 to 4,170, while being stuck in a broader range of 3,800 to 4,200 for the majority of th...
"Direct" causal cascade in the stock market 来自 Springer 喜欢 0 阅读量: 89 作者:A Arnéodo,JF Muzy,D Sornette 摘要: We use wavelets to decompose the volatility (standard deviation) of intraday (S&P500) return data across scales. We show that when investigating two-point correlation ...