American Beacon Risk Analysis And Volatility

AMDRX -- USA Fund  

USD 15.98  0.07  0.44%

We consider American Beacon not too volatile. American Beacon Mid secures Sharpe Ratio (or Efficiency) of 0.1251 which signifies that the fund had 0.1251% of return per unit of standard deviation over the last 3 months. Our philosophy in foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for American Beacon Mid Cap Value F which you can use to evaluate future volatility of the entity. Please confirm American Beacon Mid Mean Deviation of 0.7433 and Risk Adjusted Performance of 0.0913 to double-check if risk estimate we provide are consistent with the epected return of 0.1474%.

90 Days Market Risk

Not too volatile

Chance of Distress in 24 months

90 Days Economic Sensitivity

Moves indifferently to market moves
Horizon     30 Days    Login   to change

American Beacon Market Sensitivity

As returns on market increase, returns on owning American Beacon are expected to decrease at a much smaller rate. During bear market, American Beacon is likely to outperform the market.
3 Months Beta |Analyze American Beacon Mid Demand Trend
Check current 30 days American Beacon correlation with market (DOW)
β = -0.1583

American Beacon Central Daily Price Deviation

American Beacon Mid Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. American Beacon Mid 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.

American Beacon Projected Return Density Against Market

Assuming 30 trading days horizon, American Beacon Mid Cap Value F has beta of -0.1583 . This suggests as returns on benchmark increase, returns on holding American Beacon are expected to decrease at a much smaller rate. During bear market, however, American Beacon Mid Cap Value F is likely to outperform the market. Moreover, The company has an alpha of 0.1253 implying that it can potentially generate 0.1253% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of American Beacon is 799.56. The daily returns are destributed with a variance of 1.39 and standard deviation of 1.18. The mean deviation of American Beacon Mid Cap Value F is currently at 0.8. For similar time horizon, the selected benchmark (DOW) has volatility of 0.85
α
Alpha over DOW
=0.13
β
Beta against DOW=0.16
σ
Overall volatility
=1.18
Ir
Information ratio =0.0132

American Beacon Return Volatility

the fund shows 1.1783% volatility of returns over 30 trading days. the entity inherits 0.7413% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

American Beacon Investment Opportunity

American Beacon Mid Cap Value F has a volatility of 1.18 and is 1.59 times more volatile than DOW. 10  of all equities and portfolios are less risky than American Beacon. Compared to the overall equity markets, volatility of historical daily returns of American Beacon Mid Cap Value F is lower than 10 () of all global equities and portfolios over the last 30 days. Use American Beacon Mid Cap Value F to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of American Beacon to be traded at $16.78 in 30 days. . As returns on market increase, returns on owning American Beacon are expected to decrease at a much smaller rate. During bear market, American Beacon is likely to outperform the market.

American Beacon correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding American Beacon Mid Cap Value and equity matching DJI index in the same portfolio.

American Beacon Current Risk Indicators

American Beacon Suggested Diversification Pairs

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