excess return

Excess Return

A return that is larger than some benchmark, especially the risk-free return. A portfolio, for example, may have an excess return above the index on which it is based. This occurs when the portfolio manager makes certain investment decisions that pay off for the investor. It is important to note that receiving an excess return almost always requires one to take on more risk.

excess return

The return on an asset or a portfolio in excess of the risk-free return. If short-term corporate debt provides a return of 4 1/2 % while U.S. Treasury bills are yielding 3 1/2 %, excess return on the corporate debt is 1%. Excess return is usually correlated with the riskiness of an investment.
References in periodicals archive ?
The S&P MARC 5% Index is designed to track the performance of a risk-weighted portfolio consisting of three asset classes -- equities, commodities and fixed income -- represented by three component indices: the S&P 500 Excess Return Index, the S&P GSCI Gold Excess Return Index and the S&P 10-Year U.
The whole industry was able to have the net excess return of 23.
The excess return series includes 23 developed country indices, 21 emerging country indices, as well as two value-weighted aggregate indices: 1) the World Index (WI), which covers 23 developed countries and 2) the Emerging Markets Index (EMI) that covers 21 emerging countries.
The researchers estimate that over their sample period, institutional asset managers earned an annual gross excess return (alpha) of 131 basis points relative to the overall equity market.
Nikko Asset Management has announced the launch of a new UCITS-compliant global credit fund, which would aim an absolute return of 4% and an excess return of 1.
2]) is an average change in the excess return as a result of unit change in the sentiment(optimism) index occurring over periods of its negative values and [[alpha].
market (Federal Reserve Board, 1996), the hypothesis tested is the excess return hypothesis, which states that expected returns move one-for-one with ex-ante interest rates.
Get the monthly geometric excess return of the fund vis-a-vis the risk-free return.
One way to see the high costs of storage and transportation through indexing is to look at the negative roll return by subtracting the spot return index (PR) from the excess return index (ER).
69 excess return per dollar wagered) while the BPNN was 20% accurate with a $124.
As one would expect, the value portfolio has the highest average excess return of 0.
However, resourceful managers are getting sponsors to take another look, by coming to market with new ways to harvest excess return.