DNMIX Mutual Fund Volatility

DNMIX -  USA Fund  

USD 13.02  0.02  0.15%

BNY Mellon New secures Sharpe Ratio (or Efficiency) of -0.4, which signifies that the fund had -0.4% of return per unit of volatility over the last month. Macroaxis approach towards foreseeing the risk of any fund is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. BNY Mellon New exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BNY Mellon New risk adjusted performance of (0.68), and Mean Deviation of 0.059 to double-check the risk estimate we provide.

DNMIX 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 DNMIX daily returns, and it is calculated using variance and standard deviation. We also use DNMIX'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.

30 Days Market Risk

Very steady

Chance of Distress

Very Small

30 Days Economic Sensitivity

Barely shadows the market

BNY Mellon Market Sensitivity And Downside Risk

BNY Mellon's beta coefficient measures the volatility of DNMIX 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 DNMIX mutual fund's returns against your selected market. In other words, BNY Mellon's beta of 0.0273 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 DNMIX'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.
One Month Beta |Analyze BNY Mellon New Demand Trend
Check current 90 days BNY Mellon correlation with market (DOW)

DNMIX Beta

    
  0.0273  
DNMIX 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

    
  0.1  
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 New Mutual Fund Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Developed by Larry Williams, the Weighted Close is the average of BNY Mellon New high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only BNY Mellon closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

BNY Mellon Projected Return Density Against Market

Assuming the 90 days horizon BNY Mellon has a beta of 0.0273 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 New 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 DNMIX 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 a negative alpha, implying that the risk taken by holding this instrument is not justified. BNY Mellon New is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

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 DNMIX 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 -251.64. The daily returns are distributed with a variance of 0.01 and standard deviation of 0.1. The mean deviation of BNY Mellon New is currently at 0.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.88
α
Alpha over DOW
-0.07
β
Beta against DOW0.0273
σ
Overall volatility
0.10
Ir
Information ratio -2.91

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 0.1002% volatility of returns over 90 . By contrast, DOW inherits 0.8831% 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 DNMIX'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.
The investment seeks as high a level of current income exempt from federal and New Jersey income taxes as is consistent with the preservation of capital. BNY Mellon is traded on NASDAQ Exchange in the United States.

BNY Mellon Investment Opportunity

DOW has a standard deviation of returns of 0.88 and is 8.8 times more volatile than BNY Mellon New. 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 New is lower than 0 () of all global equities and portfolios over the last 90 days. Use BNY Mellon New to enhance returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of BNY Mellon to be traded at $13.67 in 90 days. . Let's try to break down what DNMIX'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.

Weak diversification

The correlation between BNY Mellon New and DJI is Weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding BNY Mellon New 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 Performance(0.68)
Market Risk Adjusted Performance(2.26)
Mean Deviation0.059
Coefficient Of Variation(152.62)
Standard Deviation0.0794
Variance0.0063
Information Ratio(2.91)
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 New.
Continue to Investing Opportunities. Note that the BNY Mellon New 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.

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When running BNY Mellon New 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.