BlackRock MuniYield Risk Analysis And Volatility Evaluation

MFT -- USA Stock  

USD 12.90  0.02  0.16%

Macroaxis considers BlackRock MuniYield to be not too volatile. BlackRock MuniYield secures Sharpe Ratio (or Efficiency) of -0.1 which signifies that BlackRock MuniYield had -0.1% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. BlackRock MuniYield Investment Quality Fund exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BlackRock MuniYield Mean Deviation of 0.3438 and Risk Adjusted Performance of 0.07 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

BlackRock MuniYield Market Sensitivity

As returns on market increase, BlackRock MuniYield returns are expected to increase less than the market. However during bear market, the loss on holding BlackRock MuniYield will be expected to be smaller as well.
One Month Beta |Analyze BlackRock MuniYield Demand Trend
Check current 30 days BlackRock MuniYield correlation with market (DOW)
β = 0.3694
BlackRock MuniYield Small BetaBlackRock MuniYield Beta Legend

BlackRock MuniYield Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. BlackRock MuniYield Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Considering 30-days investment horizon, BlackRock MuniYield has beta of 0.3694 indicating as returns on market go up, BlackRock MuniYield average returns are expected to increase less than the benchmark. However during bear market, the loss on holding BlackRock MuniYield Investment Quality Fund will be expected to be much smaller as well. Additionally, BlackRock MuniYield Investment Quality Fund has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of BlackRock MuniYield is -1000.33. The daily returns are destributed with a variance of 0.36 and standard deviation of 0.6. The mean deviation of BlackRock MuniYield Investment Quality Fund is currently at 0.32. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.14
β
Beta against DOW=0.37
σ
Overall volatility
=0.60
Ir
Information ratio =0.37

Actual Return Volatility

BlackRock MuniYield Investment Quality Fund has volatility of 0.599% on return distribution over 30 days investment horizon. DOW inherits 0.5115% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BlackRock MuniYield Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

BlackRock MuniYield Investment Opportunity
BlackRock MuniYield Investment Quality Fund has a volatility of 0.6 and is 1.18 times more volatile than DOW. 5% of all equities and portfolios are less risky than BlackRock MuniYield. Compared to the overall equity markets, volatility of historical daily returns of BlackRock MuniYield Investment Quality Fund is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use BlackRock MuniYield Investment Quality Fund to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of BlackRock MuniYield to be traded at $13.55 in 30 days. As returns on market increase, BlackRock MuniYield returns are expected to increase less than the market. However during bear market, the loss on holding BlackRock MuniYield will be expected to be smaller as well.

BlackRock MuniYield correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding BlackRock MuniYield Investment and equity matching DJI index in the same portfolio.
Please see also Stocks Correlation. Please also try Portfolio Reporting module to create custom reports across your portfolios and generate quick suggestion pitch.
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