uploads///Comparison of One Month Mean Return and Volatility of FEZ and Its Top Performers

How Total SA Outperformed Société Generale in October 2015


Nov. 20 2015, Updated 5:05 p.m. ET

FEZ and its top performers

During the past month, the SPDR Euro Stoxx 50 ETF’s (FEZ) mean return was 0.37% and its volatility was 5.1%. This shows that it can fluctuate 5.1% above or below the mean return. The graph below compares FEZ’s mean return and volatility with its top performers.

The mean return-to volatility ratio shows the return earned per unit of total risk on a daily basis for the month. Total SA (TOT) had the highest mean return of 0.41% and volatility of 9.7%. It had the highest mean return-to-volatility ratio of 4.2% compared to the other performers. Société Generale had the lowest mean return-to-volatility ratio of 3.1%. This shows that Total SA outperformed Société Generale during this period.

However, the mean return-to-volatility ratio of FEZ was 7.3%, which was the highest return when compared to its top performers.

Article continues below advertisement

Volatility versus mean return

Volatility shows the fluctuation in periodic returns from average returns. This is known as the total risk in the portfolio. The mean return shows the average daily return of FEZ.

There are two types of total risk—systematic risk and non-systematic risk. Non-systematic risk can be minimized by diversification, whereas systematic risk cannot be diversified. Systematic risk is measured by its beta, and volatility measures both systematic and non-systematic risk.

In the period from October 1–30, 2015, Société Generale’s non-systematic risk rose. As a result, its total volatility rose to 9.8%, and its mean return was 0.3%. The non-systematic risk rose in the stock because of weak capital market revenue in 3Q15.

Stocks with a weight of ~2%–3% in FEZ, plus their individual returns, include:

The individual return refers to the stock’s own return.

Please read How the Eurozone Manufacturing Report Boosted FEZ’s Performance to learn about the Eurozone.


More From Market Realist

    • CONNECT with Market Realist
    • Link to Facebook
    • Link to Twitter
    • Link to Instagram
    • Link to Email Subscribe
    Market Realist Logo
    Do Not Sell My Personal Information

    © Copyright 2021 Market Realist. Market Realist is a registered trademark. All Rights Reserved. People may receive compensation for some links to products and services on this website. Offers may be subject to change without notice.