Excess returns


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Excess returns

Difference between an asset's return and the riskless rate. Sometimes confused with abnormal returns, returns in excess of those required by some asset pricing model.

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.
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If the implicit trading measures are positive, mutual funds would earn excess returns with a buy-and-hold strategy (and might be better off by not trading to maintain the same weights).
As we are seeing more inflows into the Fund, our objective is to maintain this positive performance and continue with our current approach to make excess returns in the coming years," said Jamil Koudim, Portfolio Manager and Head of Fixed Income Unit.
For Investors concerned about how to position their portfolios given the recent sell-off in emerging markets, our research suggests that the strongest signals for generating excess returns in these periods are those that measure how efficiently a company uses its capital and also how "cheap" the security is relative to its peers," stated Dave Pope, Managing Director and Editor of the report.
It said the scheme could halve readmissions, while The King's Fund - also involved - said cutting the excess returns to hospital could save the NHS PS40million a year.
In recent years, MSCI has developed a range of indexes that provide institutional investors with a basis for implementing a transparent and efficient passive approach to seeking the excess returns historically obtained over long time horizons through active factor investing.
Specifically, we regress the monthly excess returns on a stock index on the lagged unexpected volatility (6)
Suppose we wanted to test the null hypothesis of stationary excess returns and stationary term premium but nonstationary real dividend growth, real interest rate, and inflation against the alternative hypothesis of nonstationary inflation, stationary real rate, excess returns, real dividend growth, and term premium, similar to the VAR examined by Campbell and Ammer (1993).
For Jordan and Morocco, excess returns increase as the exchange rate is allowed to more freely float.
The point of this equation is that expected excess returns on each bond must be earned in compensation for, and in proportion to, the covariance of that bond's return with macroeconomic shocks, [epsilon].
An Investor who bought the shares of the IPO at the closing price on the first trading day in the market and held it for one year, earned mean and median excess returns of 11.
TABLE 1 Descriptive Statistics for Monthly Excess Returns ([r.
The analysis shows that acquisitions completed during or just after the 2001-02 recession generated almost triple the excess returns of those made during the preceding boom years.