Excess returns

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.
References in periodicals archive ?
Another way to measure the upside potential of the market from the risk perspective is to get the excess returns between the implied returns of PSE index stocks based on current P/E ratios and the conventional required rate of returns.
This new family of Rates Factor Indices is designed to capture risk premia from interest rate markets emphasizing three styles: carry, value and momentum, and aims to deliver positive excess returns with low duration exposure in both rising and falling yield environments.
The study examined the excess/abnormal returns for 19 years from 1996 to 2014 and found that property and casualty insurers were able to have excess returns for 11 years, amounting 55.
They discover that on average, stocks earn significantly higher excess returns in the winter months of November through early April, while stocks earn significantly lower returns sometime negative returns in the summer months from May to the end of October.
In addition, its proprietary models and systems enable the firm to exploit inefficiencies inherent in the municipal market to generate excess returns.
To compute excess returns, we subtract the one-month US Treasury bill rate from gross returns, assuming that investors are global investors who take the US risk free rate as the opportunity cost.
These outside managers more than made up for their fees with average excess returns, relative to their benchmarks, of 86 basis points.
If the PERS board had placed those excess returns in a reserve account and allowed them to earn compounded returns, Oregon would not have a pension crisis today.
Yale is a leading proponent of private equity as a primary source of excess returns.
We suppose that an increase in positive moods (decrease in negative moods) is accompanied by positive change in excess returns, while decrease in positive moods (increase in negative moods) is accompanied by negative change in excess returns.
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.
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.