We define "safe stocks" as those that have the characteristics of low market betas, high Sharpe ratios and low tail risk compared to the market portfolio. A profitable dividend yield (PDY) portfolio formed by combining stocks with high gross profitability with high dividend yield possesses all ...
Particularly, the mixed copula and distance methods show a mean annualized value-weighted excess returns after costs on committed and fully invested capital as high as 3.98% and 3.14% and 12.73% and 6.07%, respectively, with annual Sharpe ratios up to 0.88. The mixed copula strategy shows ...
Market-timing strategies based on these prediction models also deliver significantly higher Sharpe ratios than naïve carry strategies (where one always goes ahead with carry trades). We implement carry trade strategies with G-10 currencies because they account for close to 90% of total trading ...
A purely domestic investor is better off holding the “Low” portfolio instead of the S&P 500 with Sharpe ratios of 0.179 and 0.105, respectively. The null hypothesis that the low-integration portfolio does not increase the Sharpe ratio is rejected at the 1% level when short sales are not ...
iv表 Among stocks with the lowest ratios of book-to-market equity (growth stocks), the smallest stocks have returns that are too low ( - 0.34% per month, t = - 3.16) relative to the predictions of the three-factor model, and the biggest stocks have returns that are too high (0.21%...
while others barely budge. If you’re wondering what the safest investment was over the past five years, I crunched the numbers for stocks, bonds, gold, and bitcoin. I measured volatility (risk), drawdowns (worst-case scenario losses), total returns, and Sharpe ratios (risk-adjusted performa...
A Sharpe ratio this high is rated as very good. A ratio below 1.0 is suboptimal, while ratios greater than 3.0 are considered excellent. Comparing Sharpe Ratios is an important way of gauging whether you are getting a good return for the risks you are taking. ...
This is clearly the most successful of all the results with both the highest compound annual return and Sharpe ratio. Only one gold-HUI model came within 1 per cent of the compound annual return of the buy-and- hold method. It should be noted though that for much of the period of ...
in other patent applications and soon-to-issue patents proves that the market clearly and consistently rewards certain attributes (e.g., stocks with low price-to-sales ratios) and clearly and consistently punishes others (e.g. stocks with high price-to-sales ratios) over long periods of time...
and the company has the potential to raise its earnings over the long term. However, a company that pays out more than 50% may not raise its dividends as much as a company with a lower dividend payout ratio. Additionally, companies with high dividend payout ratios may have trouble maintain...