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Morningstar scores the similarity of monthly returns between these two at 9.6 out of a possible 10; the overall similarity score is 9. This, despite their holding very different stock.
Similar(59)
In the worst 5% of monthly returns for stocks between 1959 and 2004, losses averaged 9%.
The "R" in question is the correlation between monthly returns on the fund and monthly returns on the stock market.
Our analysis suggests that Och-Ziff is well positioned to gather market share given its impressive long-term risk-adjusted track record (over 80% of monthly returns since 1994 have been between 0% and 4% vs. 43% of the monthly returns for the S&P 500), a transparent investment process utilizing low leverage, and stringent risk controls.
The "R" in this formula is the coefficient of correlation between the monthly returns on a given portfolio and the monthly returns on some benchmark like the S&P index.
"Don't focus on weekly or monthly returns," he said.
Mr. Ossie even held periodic conference calls describing his trading strategy, which promised 10percentt monthly returns.
Quarterly and monthly returns are also deceptive.
Monthly returns can also mask extreme volatility.
For example, you look at how monthly returns over the past three or five years have danced around the monthly average.
We calculated annual return using these monthly returns for May through April of each of the five postportfolio formation years.
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