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Smead Value Risk Analysis And Volatility

SVF
SVFAX -- USA Fund  

USD 49.42  0.37  0.74%

Macroaxis considers Smead Value to be very steady. Smead Value Fund owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0578 which indicates the organization had -0.0578% of return per unit of risk over the last 3 months. Macroaxis philosophy towards measuring risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Smead Value Fund Class A Shar exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Smead Value Coefficient Of Variation of (3,561) and Risk Adjusted Performance of (0.021817) to confirm risk estimate we provide.
Equity
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90 Days Market Risk

Very steady

Chance of Distress

Very Low

90 Days Economic Sensitivity

Barely shadows market

Smead Value Market Sensitivity

As returns on market increase, Smead Value returns are expected to increase less than the market. However during bear market, the loss on holding Smead Value will be expected to be smaller as well.
3 Months Beta |Analyze Smead Value Fund Demand Trend
Check current 30 days Smead Value correlation with market (DOW)
β = 0.0721

Smead Value Central Daily Price Deviation

Smead Value Fund Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Smead Value Fund high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Smead Value closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Smead Value Projected Return Density Against Market

Assuming 30 trading days horizon, Smead Value has beta of 0.0721 . This entails as returns on market go up, Smead Value average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Smead Value Fund Class A Shar will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Smead Value Fund is significantly underperforming DOW.
 Predicted Return Density 
    
  Returns 
Assuming 30 trading days horizon, the coefficient of variation of Smead Value is -1728.74. The daily returns are destributed with a variance of 0.67 and standard deviation of 0.82. The mean deviation of Smead Value Fund Class A Shar is currently at 0.54. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
=0.04
β
Beta against DOW=0.07
σ
Overall volatility
=0.82
Ir
Information ratio =0.1

Smead Value Return Volatility

the fund shows 0.8168% volatility of returns over 30 trading days. the entity inherits 0.8011% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

Smead Value Investment Opportunity

Smead Value Fund Class A Shar has a volatility of 0.82 and is 1.02 times more volatile than DOW. of all equities and portfolios are less risky than Smead Value. Compared to the overall equity markets, volatility of historical daily returns of Smead Value Fund Class A Shar is lower than 7 () of all global equities and portfolios over the last 30 days. Use Smead Value Fund Class A Shar to protect your portfolios against small markets fluctuations. The mutual fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Smead Value to be traded at $48.43 in 30 days. . As returns on market increase, Smead Value returns are expected to increase less than the market. However during bear market, the loss on holding Smead Value will be expected to be smaller as well.

Smead Value correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Smead Value Fund Class A Shar and equity matching DJI index in the same portfolio.

Smead Value Current Risk Indicators

Smead Value Suggested Diversification Pairs

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