AllianzGI NFJ Risk Analysis And Volatility Evaluation |
| ANDVX -- USA Fund | USD 15.59 0.00 0.00% |
We consider AllianzGI NFJ unknown risk. AllianzGI NFJ Dividend secures Sharpe Ratio (or Efficiency) of 0.0123 which signifies that AllianzGI NFJ Dividend had 0.0123% of return per unit of risk over the last 1 month. Our philosophy towards 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 AllianzGI NFJ Dividend Value R6 which you can use to evaluate future volatility of the entity. Please confirm AllianzGI NFJ Dividend Downside Deviation of 0.4471, Risk Adjusted Performance of 0.0428 and Mean Deviation of 0.4091 to double-check if risk estimate we provide are consistent with the epected return of 0.0044%.
| Horizon | 30 Days Login to change |
AllianzGI NFJ Market Sensitivity
| As returns on market increase, AllianzGI NFJ returns are expected to increase less than the market. However during bear market, the loss on holding AllianzGI NFJ will be expected to be smaller as well.One Month Beta |Analyze AllianzGI NFJ Dividend Demand TrendCheck current 30 days AllianzGI NFJ correlation with market (DOW) β = 0.0471 |   |
AllianzGI NFJ Dividend Technical Analysis
Transformation |
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.
AllianzGI NFJ Projected Return Density Against Market
Assuming 30 trading days horizon, AllianzGI NFJ has beta of 0.0471 . This suggests as returns on market go up, AllianzGI NFJ average returns are expected to increase less than the benchmark. However during bear market, the loss on holding AllianzGI NFJ Dividend Value R6 will be expected to be much smaller as well. Moreover, AllianzGI NFJ Dividend Value R6 has an alpha of 0.0397 implying that it can potentially generate 0.0397% excess return over DOW after adjusting for the inherited market risk (beta). Predicted Return Density |
Assuming 30 trading days horizon, the coefficient of variation of AllianzGI NFJ is 8106.86. The daily returns are destributed with a variance of 0.13 and standard deviation of 0.35. The mean deviation of AllianzGI NFJ Dividend Value R6 is currently at 0.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38
AllianzGI NFJ Return Volatility
AllianzGI NFJ Dividend Value R6 shows 0.3543% volatility of returns over 30 trading days. DOW inherits 0.389% risk (volatility on return distribution) over the 30 days horizon.Market Risk Breakdown
AllianzGI NFJ Volatility Factors
Investment Outlook
AllianzGI NFJ Investment Opportunity
DOW has a standard deviation of returns of 0.39 and is 1.11 times more volatile than AllianzGI NFJ Dividend Value R6. 3% of all equities and portfolios are less risky than AllianzGI NFJ. Compared to the overall equity markets, volatility of historical daily returns of AllianzGI NFJ Dividend Value R6 is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use AllianzGI NFJ Dividend Value R6 to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of AllianzGI NFJ to be traded at $15.43 in 30 days. As returns on market increase, AllianzGI NFJ returns are expected to increase less than the market. However during bear market, the loss on holding AllianzGI NFJ will be expected to be smaller as well.
AllianzGI NFJ correlation with market
Significant diversificationOverlapping area represents the amount of risk that can be diversified away by holding AllianzGI NFJ Dividend Value R and equity matching DJI index in the same portfolio.
AllianzGI NFJ Volatility Indicators
AllianzGI NFJ Dividend Value R6 Current Risk Indicators
| Risk Adjusted Performance | 0.0428 | ||
| Market Risk Adjusted Performance | 0.9456 | ||
| Mean Deviation | 0.4091 | ||
| Semi Deviation | 0.3503 | ||
| Downside Deviation | 0.4471 | ||
| Coefficient Of Variation | 953.45 | ||
| Standard Deviation | 0.5155 |
AllianzGI NFJ Pair Correlation
AllianzGI NFJ Suggested Diversification Pairs
Check also Trending Equities. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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