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.