American Mutual Fund Volatility

AMFCX -  USA Fund  

USD 50.00  0.10  0.20%

We consider American Mutual out of control. American Mutual secures Sharpe Ratio (or Efficiency) of 0.0491, which signifies that the fund had 0.0491% of return per unit of standard deviation over the last 3 months. Our philosophy in foreseeing the 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 Mutual, which you can use to evaluate the future volatility of the entity. Please confirm American Mutual mean deviation of 0.4751, and Risk Adjusted Performance of 0.0512 to double-check if the risk estimate we provide is consistent with the expected return of 0.0315%.

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American Mutual Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of American daily returns, and it is calculated using variance and standard deviation. We also use American's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of American Mutual volatility.

180 Days Market Risk

Out of control

Chance of Distress

Very Small

180 Days Economic Sensitivity

Ignores market trends

American Mutual Market Sensitivity And Downside Risk

American Mutual's beta coefficient measures the volatility of American mutual fund compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents American mutual fund's returns against your selected market. In other words, American Mutual's beta of -0.0327 provides an investor with an approximation of how much risk American Mutual mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what American's beta means in this case. As returns on the market increase, returns on owning American Mutual are expected to decrease at a much lower rate. During the bear market, American Mutual is likely to outperform the market.
3 Months Beta |Analyze American Mutual Demand Trend
Check current 90 days American Mutual correlation with market (DOW)

American Beta

    
  -0.0327  
American standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.64  
It is essential to understand the difference between upside risk (as represented by American Mutual's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of American Mutual stock's daily returns or price. Since the actual investment returns on holding a position in American Mutual stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in American Mutual.

American Mutual Mutual Fund Volatility Analysis

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

Assuming the 90 days horizon American Mutual has a beta of -0.0327 . This suggests as returns on benchmark increase, returns on holding American Mutual are expected to decrease at a much lower rate. During the bear market, however, American Mutual is likely to outperform the market.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to American Mutual or American Funds sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that American Mutual stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a American stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has an alpha of 0.0367, implying that it can generate a 0.0367 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

American Mutual Mutual Fund Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to American Mutual or American Funds sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that American Mutual stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a American stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Assuming the 90 days horizon the coefficient of variation of American Mutual is 2036.05. The daily returns are distributed with a variance of 0.41 and standard deviation of 0.64. The mean deviation of American Mutual is currently at 0.47. For similar time horizon, the selected benchmark (DOW) has volatility of 0.74
α
Alpha over DOW
0.0367
β
Beta against DOW-0.03
σ
Overall volatility
0.64
Ir
Information ratio 0.0095

American Mutual Mutual Fund Return Volatility

American Mutual historical daily return volatility represents how much American Mutual stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 0.6415% volatility of returns over 90 . By contrast, DOW inherits 0.7403% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About American Mutual Volatility

Volatility is a rate at which the price of American Mutual or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of American Mutual may increase or decrease. In other words, similar to American's beta indicator, it measures the risk of American Mutual and helps estimate the fluctuations that may happen in a short period of time. So if prices of American Mutual fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The investment seeks current income, growth of capital and conservation of principal. American Mutual is traded on NASDAQ Exchange in the United States.

American Mutual Investment Opportunity

DOW has a standard deviation of returns of 0.74 and is 1.16 times more volatile than American Mutual. of all equities and portfolios are less risky than American Mutual. Compared to the overall equity markets, volatility of historical daily returns of American Mutual is lower than 5 () of all global equities and portfolios over the last 90 days. Use American Mutual to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend and little activity. Check odds of American Mutual to be traded at $49.5 in 90 days. . Let's try to break down what American's beta means in this case. As returns on the market increase, returns on owning American Mutual are expected to decrease at a much lower rate. During the bear market, American Mutual is likely to outperform the market.

Good diversification

The correlation between American Mutual and DJI is Good diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding American Mutual and DJI in the same portfolio assuming nothing else is changed.

American Mutual Additional Risk Indicators

The analysis of American Mutual's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in American Mutual's investment and either accepting that risk or mitigating it. Along with some common measures of American Mutual stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance0.0512
Market Risk Adjusted Performance(1.08)
Mean Deviation0.4751
Semi Deviation0.5858
Downside Deviation0.7007
Coefficient Of Variation1405.11
Standard Deviation0.6421
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

American Mutual Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against American Mutual as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. American Mutual's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, American Mutual's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to American Mutual.
Please continue to Trending Equities. Note that the American Mutual information on this page should be used as a complementary analysis to other American Mutual's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.

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When running American Mutual price analysis, check to measure American Mutual's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy American Mutual is operating at the current time. Most of American Mutual's value examination focuses on studying past and present price action to predict the probability of American Mutual's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move American Mutual's price. Additionally, you may evaluate how the addition of American Mutual to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between American Mutual's value and its price as these two are different measures arrived at by different means. Investors typically determine American Mutual value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, American Mutual's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.