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H
BestScopePeriodSample%ChangeS&P500
1
+IndustryYearTop 5
101.89%
5.59%
-IndustryYearLast 5
-37.53%
5.59%
5
+IndustryYearTop 5
90.59%
5.93%
-GlobalMonthLast 5
-20.02%
-1.75%
A
+GlobalYearTop 10
104.43%
14.72%
-IndustryMonthLast 10
0.48%
1.12%

Kappa Ratio

A ratio of the returns’ percent change to a 1% change in the expected price volatility (also called implied volatility). We are using 3-years of returns, monthly samples and the SPY index as a benchmark.



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