DNLRX Mutual Fund Volatility

DNLRX -  USA Fund  

USD 71.80  0.16  0.22%

We consider BNY Mellon very steady. BNY Mellon Active secures Sharpe Ratio (or Efficiency) of 0.086, which signifies that the fund had 0.086% of return per unit of volatility over the last 3 months. Our approach 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 BNY Mellon Active, which you can use to evaluate the future volatility of the entity. Please confirm BNY Mellon Active risk adjusted performance of 0.0771, and Mean Deviation of 0.5623 to double-check if the risk estimate we provide is consistent with the expected return of 0.0634%.

DNLRX Volatility 

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

720 Days Market Risk

Very steady

Chance of Distress

Below Average

720 Days Economic Sensitivity

Almost mirrors the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as BNY Mellon can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of BNY Mellon at lower prices. For example, an investor can purchase DNLRX stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of BNY Mellon's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

BNY Mellon Market Sensitivity And Downside Risk

BNY Mellon's beta coefficient measures the volatility of DNLRX 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 DNLRX mutual fund's returns against your selected market. In other words, BNY Mellon's beta of 0.0254 provides an investor with an approximation of how much risk BNY Mellon mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what DNLRX's beta means in this case. As returns on the market increase, BNY Mellon returns are expected to increase less than the market. However, during the bear market, the loss on holding BNY Mellon will be expected to be smaller as well.
3 Months Beta |Analyze BNY Mellon Active Demand Trend
Check current 90 days BNY Mellon correlation with market (DOW)

DNLRX Beta

    
  0.0254  
DNLRX 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

    
  0.74  
It is essential to understand the difference between upside risk (as represented by BNY Mellon's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of BNY Mellon stock's daily returns or price. Since the actual investment returns on holding a position in BNY Mellon 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 BNY Mellon.

BNY Mellon Active Mutual Fund Volatility Analysis

Volatility refers to the frequency at which BNY Mellon stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with BNY Mellon's price changes. Investors will then calculate the volatility of BNY Mellon's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of BNY Mellon's volatility:

Historical Volatility

This type of stock volatility measures BNY Mellon's fluctuations based on previous trends. It's commonly used to predict BNY Mellon's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for BNY Mellon's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. BNY Mellon Active 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.

BNY Mellon Projected Return Density Against Market

Assuming the 90 days horizon BNY Mellon has a beta of 0.0254 suggesting as returns on the market go up, BNY Mellon average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding BNY Mellon Active 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 BNY Mellon or BNY Mellon 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 BNY Mellon 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 DNLRX 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 0.0691, implying that it can generate a 0.0691 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
BNY Mellon's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how BNY Mellon stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

BNY Mellon 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 BNY Mellon or BNY Mellon 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 BNY Mellon 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 DNLRX 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 BNY Mellon is 1163.15. The daily returns are distributed with a variance of 0.54 and standard deviation of 0.74. The mean deviation of BNY Mellon Active is currently at 0.57. For similar time horizon, the selected benchmark (DOW) has volatility of 0.7
α
Alpha over DOW
0.07
β
Beta against DOW0.0254
σ
Overall volatility
0.74
Ir
Information ratio 0.07

BNY Mellon Mutual Fund Return Volatility

BNY Mellon historical daily return volatility represents how much BNY Mellon 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 0.7379% volatility of returns over 90 . By contrast, DOW inherits 0.709% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About BNY Mellon Volatility

Volatility is a rate at which the price of BNY Mellon 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 BNY Mellon may increase or decrease. In other words, similar to DNLRX's beta indicator, it measures the risk of BNY Mellon and helps estimate the fluctuations that may happen in a short period of time. So if prices of BNY Mellon 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.
To pursue its goal, the fund normally invests at least 80 percent of its net assets, plus any borrowings for investment purposes, in the stocks of midsize companies. BNY Mellon is traded on NASDAQ Exchange in the United States.

BNY Mellon Investment Opportunity

BNY Mellon Active has a volatility of 0.74 and is 1.04 times more volatile than DOW. of all equities and portfolios are less risky than BNY Mellon. Compared to the overall equity markets, volatility of historical daily returns of BNY Mellon Active is lower than 6 () of all global equities and portfolios over the last 90 days. Use BNY Mellon Active to enhance returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of BNY Mellon to be traded at $75.39 in 90 days. . Let's try to break down what DNLRX's beta means in this case. As returns on the market increase, BNY Mellon returns are expected to increase less than the market. However, during the bear market, the loss on holding BNY Mellon will be expected to be smaller as well.

Significant diversification

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

BNY Mellon Additional Risk Indicators

The analysis of BNY Mellon'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 BNY Mellon's investment and either accepting that risk or mitigating it. Along with some common measures of BNY Mellon 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 Performance0.0771
Market Risk Adjusted Performance2.75
Mean Deviation0.5623
Semi Deviation0.6287
Downside Deviation0.7519
Coefficient Of Variation915.27
Standard Deviation0.728
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.

BNY Mellon 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 BNY Mellon 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. BNY Mellon'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, BNY Mellon'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 BNY Mellon Active.
Continue to Investing Opportunities. Note that the BNY Mellon Active information on this page should be used as a complementary analysis to other BNY Mellon'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 Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.

Complementary Tools for DNLRX Mutual Fund analysis

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