Macroaxis considers BlackRock not too volatile. BlackRock Muniyield
secures Sharpe Ratio (or Efficiency) of -0.3 which signifies that BlackRock Muniyield
had -0.3% 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 Pennsylvania Insured Fund exposes twenty-eight 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 0.3642 and Risk Adjusted Performance
of (0.13) to double-check risk estimate we provide.
Projected Return Density against Market
Considering 30-days investment horizon, BlackRock Muniyield Pennsylvania Insured Fund has beta of -0.12 indicating as returns on benchmark increase, returns on holding BlackRock are expected to decrease at a much smaller rate. During bear market, however, BlackRock Muniyield Pennsylvania Insured Fund is likely to outperform the market. Additionally, BlackRock Muniyield Pennsylvania Insured Fund has negative alpha implying that risk taken by holding this equity is not justified. The company is significantly underperforming S&P 500
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of BlackRock is -331.91. The daily returns are destributed with a variance of 0.26 and standard deviation of 0.51. The mean deviation of BlackRock Muniyield Pennsylvania Insured Fund is currently at 0.36. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.45
Actual Return Volatility
BlackRock Muniyield Pennsylvania Insured Fund has volatility of 0.51%
on return distribution over 30 days investment horizon. S&P 500 shows 0.45% volatility of returns over 30 trading days.