TIAA CREF Risk Analysis And Volatility

TRVRX -- USA Fund  

USD 20.48  0.05  0.24%

We consider TIAA CREF not too volatile. TIAA CREF Mid retains Efficiency (Sharpe Ratio) of 0.0613 which indicates the organization had 0.0613% of return per unit of risk over the last 3 months. Our philosophy towards measuring 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 TIAA CREF which you can use to evaluate future volatility of the fund. Please validate TIAA CREF Mid Cap Value Fund Re Risk Adjusted Performance of 0.0517 and Downside Deviation of 1.2 to confirm if risk estimate we provide are consistent with the epected return of 0.0627%.

90 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Barely shadows market
Horizon     30 Days    Login   to change

TIAA CREF Market Sensitivity

As returns on market increase, TIAA CREF returns are expected to increase less than the market. However during bear market, the loss on holding TIAA CREF will be expected to be smaller as well.
3 Months Beta |Analyze TIAA CREF Mid Demand Trend
Check current 30 days TIAA CREF correlation with market (DOW)
β = 0.0496

TIAA CREF Central Daily Price Deviation

TIAA CREF Mid Technical Analysis

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

TIAA CREF Projected Return Density Against Market

Assuming 30 trading days horizon, TIAA CREF has beta of 0.0496 . This entails as returns on market go up, TIAA CREF average returns are expected to increase less than the benchmark. However during bear market, the loss on holding TIAA CREF Mid Cap Value Fund Re will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0456 implying that it can potentially generate 0.0456% 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 TIAA CREF is 1631.05. The daily returns are destributed with a variance of 1.05 and standard deviation of 1.02. The mean deviation of TIAA CREF Mid Cap Value Fund Re is currently at 0.77. For similar time horizon, the selected benchmark (DOW) has volatility of 0.89
α
Alpha over DOW
=0.0456
β
Beta against DOW=0.0496
σ
Overall volatility
=1.02
Ir
Information ratio =0.0173

TIAA CREF Return Volatility

the fund shows 1.0224% volatility of returns over 30 trading days. the entity inherits 0.9202% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

TIAA CREF Investment Opportunity

TIAA CREF Mid Cap Value Fund Re has a volatility of 1.02 and is 1.11 times more volatile than DOW. 9% of all equities and portfolios are less risky than TIAA CREF. Compared to the overall equity markets, volatility of historical daily returns of TIAA CREF Mid Cap Value Fund Re is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use TIAA CREF Mid Cap Value Fund Re to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of TIAA CREF to be traded at $21.5 in 30 days. . As returns on market increase, TIAA CREF returns are expected to increase less than the market. However during bear market, the loss on holding TIAA CREF will be expected to be smaller as well.

TIAA CREF correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding TIAA CREF Mid Cap Value Fund R and equity matching DJI index in the same portfolio.

TIAA CREF Current Risk Indicators

TIAA CREF Suggested Diversification Pairs

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