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 Trend
Check current 30 days AllianzGI NFJ correlation with market (DOW)
β = 0.0471
AllianzGI NFJ Small BetaAllianzGI NFJ Dividend Beta Legend

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 
      Returns 
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
α
Alpha over DOW
=0.0397
β
Beta against DOW=0.0471
σ
Overall volatility
=0.35
Ir
Information ratio =0.09

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.
 Performance (%) 
      Timeline 

Market Risk Breakdown

AllianzGI NFJ Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

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 diversification
Overlapping 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

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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