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A higher volatility stock, with the same expected return of 7% but with annual volatility of 20%, would indicate returns from approximately negative 33% to positive 47% most of the time (19 times out of 20, or 95%). These estimates assume a normal distribution; in reality stock price movements are found to be leptokurtotic (fat-tailed).
Dec. 18 was a big down day in the stock market with the Nasdaq Composite (NASDAQINDEX: ^IXIC) falling 3.6% and the S&P 500 (SNPINDEX: ^GSPC) tumbling 2.9%. The main catalyst for the sell-off was ...
That enables investors to potentially earn even higher total returns than the passive income provides. The ETF has produced a 13.4% total return over the past year and a 12.8% annualized return ...
Tech stocks are currently in high demand, and despite market volatility, Nvidia (NASDAQ:NVDA) and Meta Platforms (NASDAQ:META) remain industry leaders. Both stocks offer promising return forecasts ...
Over this period the average return was 13.9% of 30-stock Magic Formula portfolio versus 9.3% for the BSE Sensex. [ 9 ] An analysis of the Hong Kong stock market from 2001 to 2014 found Greenblatt's formula was associated with long-term outperformance of market averages by 6-15% depending on company size and other variables.
Specifically, stocks with steeper implied volatility smiles (i.e., higher jump risk) have higher expected returns, consistent with the equity premium puzzle. The author argues that this relationship between the slope of the implied volatility smile and stock returns can be explained by investors' preference for jump risk.
"The 7 stocks have faster expected sales growth, higher margins, a greater re-investment ratio, and stronger balance sheets than the other 493 stocks and trade at a relative valuation in line with ...
Beta is the hedge ratio of an investment with respect to the stock market. For example, to hedge out the market-risk of a stock with a market beta of 2.0, an investor would short $2,000 in the stock market for every $1,000 invested in the stock. Thus insured, movements of the overall stock market no longer influence the combined position on ...