Smead Value Fund Volatility
| SVFDX Fund | USD 78.29 0.05 0.06% |
We consider Smead Value very steady. Smead Value Fund owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0874, which indicates the fund had a 0.0874% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Smead Value Fund, which you can use to evaluate the volatility of the fund. Please validate Smead Value's Semi Deviation of 0.8605, risk adjusted performance of 0.0705, and Coefficient Of Variation of 914.1 to confirm if the risk estimate we provide is consistent with the expected return of 0.0752%. Key indicators related to Smead Value's volatility include:
690 Days Market Risk | Chance Of Distress | 690 Days Economic Sensitivity |
Smead Value Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Smead daily returns, and it is calculated using variance and standard deviation. We also use Smead's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Smead Value volatility.
Smead |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Smead Value can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Smead Value at lower prices. For example, an investor can purchase Smead stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Smead Value's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Moving together with Smead Mutual Fund
| 1.0 | SVFAX | Smead Value Fund | PairCorr |
| 1.0 | SVFCX | Smead Value Fund | PairCorr |
| 1.0 | SVFKX | Smead Value Fund | PairCorr |
| 1.0 | SVFFX | Smead Value Fund | PairCorr |
| 1.0 | SVFYX | Smead Value Fund | PairCorr |
| 0.96 | SVXFX | Smead Funds Trust | PairCorr |
| 0.94 | SVXAX | Smead Funds Trust | PairCorr |
| 0.94 | SVXLX | Smead Funds Trust | PairCorr |
Moving against Smead Mutual Fund
| 0.95 | UIPIX | Ultrashort Mid Cap Steady Growth | PairCorr |
| 0.78 | USPSX | Profunds Ultrashort Steady Growth | PairCorr |
| 0.77 | USPIX | Profunds Ultrashort Steady Growth | PairCorr |
Smead Value Market Sensitivity And Downside Risk
Smead Value's beta coefficient measures the volatility of Smead mutual fund compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Smead mutual fund's returns against your selected market. In other words, Smead Value's beta of 1.17 provides an investor with an approximation of how much risk Smead Value mutual fund can potentially add to one of your existing portfolios. Smead Value Fund has low volatility with Treynor Ratio of 0.07, Maximum Drawdown of 3.91 and kurtosis of 0.15. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Smead Value's mutual fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Smead Value's mutual fund price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Smead Value Fund Demand TrendCheck current 90 days Smead Value correlation with market (NYSE Composite)Smead Beta |
Smead standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 0.86 |
It is essential to understand the difference between upside risk (as represented by Smead Value's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Smead Value's daily returns or price. Since the actual investment returns on holding a position in smead mutual fund tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Smead Value.
Smead Value Fund Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Smead Value fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Smead Value's price changes. Investors will then calculate the volatility of Smead Value's mutual fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A mutual fund with relatively stable price changes has low volatility. A highly volatile fund is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Smead Value's volatility:
Historical Volatility
This type of fund volatility measures Smead Value's fluctuations based on previous trends. It's commonly used to predict Smead Value's future behavior based on its past. However, it cannot conclusively determine the future direction of the mutual fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Smead Value's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Smead Value's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Smead Value Fund 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.
Smead Value Projected Return Density Against Market
Assuming the 90 days horizon the mutual fund has the beta coefficient of 1.1668 . This usually implies as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Smead Value will likely underperform.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Smead Value or Smead Funds sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Smead Value's price will be affected by overall mutual fund market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Smead fund's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Smead Value Fund has an alpha of 0.0163, implying that it can generate a 0.0163 percent excess return over NYSE Composite after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Smead Value Price Volatility?
Several factors can influence a fund's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Smead Value Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Smead Value is 1144.5. The daily returns are distributed with a variance of 0.74 and standard deviation of 0.86. The mean deviation of Smead Value Fund is currently at 0.66. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.62
α | Alpha over NYSE Composite | 0.02 | |
β | Beta against NYSE Composite | 1.17 | |
σ | Overall volatility | 0.86 | |
Ir | Information ratio | 0.03 |
Smead Value Mutual Fund Return Volatility
Smead Value historical daily return volatility represents how much of Smead Value fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 0.8608% volatility of returns over 90 . By contrast, NYSE Composite accepts 0.6214% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Smead Value Volatility
Volatility is a rate at which the price of Smead Value or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Smead Value may increase or decrease. In other words, similar to Smead's beta indicator, it measures the risk of Smead Value and helps estimate the fluctuations that may happen in a short period of time. So if prices of Smead Value fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.To achieve its investment objective, the fund will maintain approximately 25-30 companies in its portfolio and will invest in the common stocks of large capitalization U.S. companies. The funds manager considers large-cap companies to be those publicly traded U.S. companies with capitalizations exceeding 5 billion. It is non-diversified.
Smead Value's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Smead Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Smead Value's price varies over time.
3 ways to utilize Smead Value's volatility to invest better
Higher Smead Value's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Smead Value Fund fund is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Smead Value Fund fund volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Smead Value Fund investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Smead Value's fund can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Smead Value's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Smead Value Investment Opportunity
Smead Value Fund has a volatility of 0.86 and is 1.39 times more volatile than NYSE Composite. 7 percent of all equities and portfolios are less risky than Smead Value. You can use Smead Value Fund to enhance the returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of Smead Value to be traded at $82.2 in 90 days.Very poor diversification
The correlation between Smead Value Fund and NYA is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Smead Value Fund and NYA in the same portfolio, assuming nothing else is changed.
Smead Value Additional Risk Indicators
The analysis of Smead Value's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Smead Value's investment and either accepting that risk or mitigating it. Along with some common measures of Smead Value mutual fund's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.0705 | |||
| Market Risk Adjusted Performance | 0.0826 | |||
| Mean Deviation | 0.6684 | |||
| Semi Deviation | 0.8605 | |||
| Downside Deviation | 0.969 | |||
| Coefficient Of Variation | 914.1 | |||
| Standard Deviation | 0.8653 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential mutual funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Smead Value Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Smead Value as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Smead Value's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Smead Value's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Smead Value Fund.
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Smead Value Fund. Also, note that the market value of any mutual fund could be tightly coupled with the direction of predictive economic indicators such as signals in unemployment. Note that the Smead Value Fund information on this page should be used as a complementary analysis to other Smead Value's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.