American Funds Risk Analysis And Volatility

RERAX -- USA Fund  

USD 52.33  0.17  0.33%

We consider American Funds very steady. American Funds EuroP secures Sharpe Ratio (or Efficiency) of 0.1129 which signifies that the fund had 0.1129% 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 Funds EuroPacific Gr which you can use to evaluate future volatility of the entity. Please confirm American Funds EuroP Mean Deviation of 0.4715 and Risk Adjusted Performance of 0.0716 to double-check if risk estimate we provide are consistent with the epected return of 0.076%.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Follows market closely
Horizon     30 Days    Login   to change

American Funds Market Sensitivity

As returns on market increase, American Funds returns are expected to increase less than the market. However during bear market, the loss on holding American Funds will be expected to be smaller as well.
3 Months Beta |Analyze American Funds EuroP Demand Trend
Check current 30 days American Funds correlation with market (DOW)
β = 0.649

American Funds Central Daily Price Deviation

American Funds EuroP Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. American Funds EuroP 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 Funds Projected Return Density Against Market

Assuming 30 trading days horizon, American Funds has beta of 0.649 . This implies as returns on market go up, American Funds average returns are expected to increase less than the benchmark. However during bear market, the loss on holding American Funds EuroPacific Gr will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0273 implying that it can potentially generate 0.0273% 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 Funds is 885.95. The daily returns are destributed with a variance of 0.45 and standard deviation of 0.67. The mean deviation of American Funds EuroPacific Gr is currently at 0.48. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.0273
β
Beta against DOW=0.65
σ
Overall volatility
=0.67
Ir
Information ratio =0.0077

American Funds Return Volatility

the fund shows 0.6735% volatility of returns over 30 trading days. the entity inherits 0.6082% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

American Funds Investment Opportunity

American Funds EuroPacific Gr has a volatility of 0.67 and is 1.1 times more volatile than DOW. of all equities and portfolios are less risky than American Funds. Compared to the overall equity markets, volatility of historical daily returns of American Funds EuroPacific Gr is lower than 6 () of all global equities and portfolios over the last 30 days. Use American Funds EuroPacific Gr to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of American Funds to be traded at $54.95 in 30 days. . As returns on market increase, American Funds returns are expected to increase less than the market. However during bear market, the loss on holding American Funds will be expected to be smaller as well.

American Funds correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding American Funds EuroPacific Gr and equity matching DJI index in the same portfolio.

American Funds Current Risk Indicators

American Funds Suggested Diversification Pairs

Additionally take a look at Your Equity Center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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