Miller Opportunity Risk Analysis And Volatility Evaluation

LGOAX -- USA Fund  

USD 26.87  0.00  0.00%

Macroaxis considers Miller Opportunity to be not too volatile. Miller Opportunity has Sharpe Ratio of -0.0451 which conveys that Miller Opportunity had -0.0451% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Miller Opportunity exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Miller Opportunity A Downside Deviation of 2.25, Mean Deviation of 1.61 and Risk Adjusted Performance of 0.0507 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Miller Opportunity Market Sensitivity

As returns on market increase, Miller Opportunity returns are expected to increase less than the market. However during bear market, the loss on holding Miller Opportunity will be expected to be smaller as well.
One Month Beta |Analyze Miller Opportunity Demand Trend
Check current 30 days Miller Opportunity correlation with market (DOW)
β = 0.0421

Miller Opportunity Central Daily Price Deviation

Miller Opportunity Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Miller Opportunity 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.

Miller Opportunity Projected Return Density Against Market

Assuming 30 trading days horizon, Miller Opportunity has beta of 0.0421 indicating as returns on market go up, Miller Opportunity average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Miller Opportunity A will be expected to be much smaller as well. Moreover, Miller Opportunity A has an alpha of 0.0754 implying that it can potentially generate 0.0754% 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 Miller Opportunity is -2218.69. The daily returns are destributed with a variance of 4.81 and standard deviation of 2.19. The mean deviation of Miller Opportunity A is currently at 1.59. For similar time horizon, the selected benchmark (DOW) has volatility of 1.22
α
Alpha over DOW
=0.08
β
Beta against DOW=0.0421
σ
Overall volatility
=2.19
Ir
Information ratio =0.07

Miller Opportunity Return Volatility

Miller Opportunity A shows 2.1943% volatility of returns over 30 trading days. DOW inherits 1.1939% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Miller Opportunity Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Miller Opportunity Investment Opportunity

Miller Opportunity A has a volatility of 2.19 and is 1.84 times more volatile than DOW. 19% of all equities and portfolios are less risky than Miller Opportunity. Compared to the overall equity markets, volatility of historical daily returns of Miller Opportunity A is lower than 19 (%) of all global equities and portfolios over the last 30 days. Use Miller Opportunity A 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 Miller Opportunity to be traded at $26.6 in 30 days. As returns on market increase, Miller Opportunity returns are expected to increase less than the market. However during bear market, the loss on holding Miller Opportunity will be expected to be smaller as well.

Miller Opportunity correlation with market

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

Miller Opportunity Volatility Indicators

Miller Opportunity A Current Risk Indicators

Please see also Stocks Correlation. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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