Astor Mutual Fund Volatility

ASPGX -  USA Fund  

USD 18.30  0.01  0.05%

We consider Astor Sector very steady. Astor Sector Allocation secures Sharpe Ratio (or Efficiency) of 0.0313, which signifies that the fund had 0.0313% of return per unit of risk over the last 24 months. Our standpoint towards 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 Astor Sector Allocation, which you can use to evaluate the future volatility of the entity. Please confirm Astor Sector Allocation Risk Adjusted Performance of 0.0495, mean deviation of 0.7371, and Downside Deviation of 1.84 to double-check if the risk estimate we provide is consistent with the expected return of 0.0489%.

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Astor Sector 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 Astor daily returns, and it is calculated using variance and standard deviation. We also use Astor's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Astor Sector volatility.

720 Days Market Risk

Very steady

Chance of Distress

720 Days Economic Sensitivity

Barely shadows the market

Astor Sector Market Sensitivity And Downside Risk

Astor Sector's beta coefficient measures the volatility of Astor 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 Astor mutual fund's returns against your selected market. In other words, Astor Sector's beta of 0.15 provides an investor with an approximation of how much risk Astor Sector mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Astor's beta means in this case. As returns on the market increase, Astor Sector returns are expected to increase less than the market. However, during the bear market, the loss on holding Astor Sector will be expected to be smaller as well.
24 Months Beta |Analyze Astor Sector Allocation Demand Trend
Check current 90 days Astor Sector correlation with market (DOW)

Astor Beta

    
  0.15  
Astor 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

    
  1.56  
It is essential to understand the difference between upside risk (as represented by Astor Sector's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Astor Sector stock's daily returns or price. Since the actual investment returns on holding a position in Astor Sector 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 Astor Sector.

Astor Sector Allocation Mutual Fund Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of five hundred twenty-three. Astor Sector Allocation 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.

Astor Sector Projected Return Density Against Market

Assuming the 90 days horizon Astor Sector has a beta of 0.1508 . This suggests as returns on the market go up, Astor Sector average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Astor Sector Allocation will be expected to be much smaller as well.
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 Astor Sector or Astor 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 Astor Sector 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 Astor 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 0.0264, implying that it can generate a 0.0264 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Astor Sector 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 Astor Sector or Astor 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 Astor Sector 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 Astor 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 Astor Sector is 3197.21. The daily returns are distributed with a variance of 2.45 and standard deviation of 1.56. The mean deviation of Astor Sector Allocation is currently at 0.75. For similar time horizon, the selected benchmark (DOW) has volatility of 1.69
α
Alpha over DOW
0.0264
β
Beta against DOW0.15
σ
Overall volatility
1.56
Ir
Information ratio -0.02

Astor Sector Mutual Fund Return Volatility

Astor Sector historical daily return volatility represents how much Astor Sector 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 1.5642% volatility of returns over 90 . By contrast, DOW inherits 1.7268% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Astor Sector Volatility

Volatility is a rate at which the price of Astor Sector 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 Astor Sector may increase or decrease. In other words, similar to Astor's beta indicator, it measures the risk of Astor Sector and helps estimate the fluctuations that may happen in a short period of time. So if prices of Astor Sector 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 fund invests predominantly in exchange-traded funds that each invest primarily in equity securities, fixed-income securities, or cash equivalents. Astor Sector is traded on NASDAQ Exchange in the United States.

Astor Sector Investment Opportunity

DOW has a standard deviation of returns of 1.73 and is 1.11 times more volatile than Astor Sector Allocation. 13  of all equities and portfolios are less risky than Astor Sector. Compared to the overall equity markets, volatility of historical daily returns of Astor Sector Allocation is lower than 13 () of all global equities and portfolios over the last 90 days. Use Astor Sector Allocation to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend and little activity. Check odds of Astor Sector to be traded at $18.12 in 90 days. . Let's try to break down what Astor's beta means in this case. As returns on the market increase, Astor Sector returns are expected to increase less than the market. However, during the bear market, the loss on holding Astor Sector will be expected to be smaller as well.

Average diversification

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

Astor Sector Additional Risk Indicators

The analysis of Astor Sector'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 Astor Sector's investment and either accepting that risk or mitigating it. Along with some common measures of Astor Sector 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 Performance0.0495
Market Risk Adjusted Performance0.2475
Mean Deviation0.7371
Semi Deviation1.66
Downside Deviation1.84
Coefficient Of Variation3337.65
Standard Deviation1.53
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.

Astor Sector 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 Astor Sector 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. Astor Sector'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, Astor Sector'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 Astor Sector Allocation.
Please continue to Trending Equities. Note that the Astor Sector Allocation information on this page should be used as a complementary analysis to other Astor Sector'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.

Complementary Tools for Astor Mutual Fund analysis

When running Astor Sector Allocation price analysis, check to measure Astor Sector'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 Astor Sector is operating at the current time. Most of Astor Sector's value examination focuses on studying past and present price action to predict the probability of Astor Sector's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Astor Sector's price. Additionally, you may evaluate how the addition of Astor Sector to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between Astor Sector's value and its price as these two are different measures arrived at by different means. Investors typically determine Astor Sector value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Astor Sector'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.