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 ?
This ratio, which was developed by Nobel laureate William Sharpe in 1966, is calculated by taking the excess return of an investment over the risk-free rate and dividing it by its standard deviation.
For example, the excess return you expect to receive investing in stocks vs.
Here RE it represents excess returns on portfolios at "i "time t; is [alpha]i intercept of portfolio i; rM is the excess return on market, [beta]E is coefficient of excess market return, and it is found by regressing excess returns of the portfolio with excess market returns.
At the same time, since Treasury securities typically have lower excess returns than equities, adding them to the market proxy lowers the average excess return on the market portfolio.
For each firm in the sample, we calculate monthly compounded returns adjusted for splitting and repurchasing for each fiscal year; we then subtract the return to a value-weighted market portfolio (NYSE/NASDAQ/AMEX) from this raw return to determine the net excess return for the firm's corresponding fiscal year.
The researchers found that monetary momentum was economically different from time-series momentum, which they define as a strategy of investing in the market 15 days before an FOMC meeting whenever the stock market had positive excess returns over the preceding 12 months, and shorting the market when the market's excess return was negative.
Plus, Eagle Select Focus 5 is the exclusive home of the brand-new allocation option: The S&P 500(r) Dividend Aristocrats(r) Daily Risk Control 5% Excess Return with Participation Rate.
The index is designed to measure a 100% long index weight in the S&P BSE SENSEX Total Return Index and a 100% short index weight in the S&P BSE SENSEX Futures Excess Return Index.
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.S.
The excess return variable based on EUP2 (equilibrium underwriting profit based on municipal bonds) is not included in this study since it is not expected to make much differences in theory and practice.
Moreover, this trading strategy has worked in two out of every three calendar years with an average of 2.4% excess return over the B&HS.
As the first futures-based ETF product issued by a Chinese manager, the CSOP Crude Oil ETF provides investment results closely corresponding to the performance of BofA Merrill Lynch Commodity index eXtra CLA Index (Excess Return), which tracks the performance of December month WTI Futures Contracts and seeks to reduce transaction costs by rolling only once a year.