Mainstay Mutual Fund Volatility

EPSHX -  USA Fund  

USD 20.25  0.01  0.0494%

We consider Mainstay Epoch very steady. Mainstay Epoch Global has Sharpe Ratio of 0.0259, which conveys that the entity had 0.0259% of return per unit of risk over the last 3 months. Our standpoint towards estimating 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-six technical indicators for Mainstay Epoch, which you can use to evaluate the future volatility of the fund. Please verify Mainstay Epoch Global Downside Deviation of 0.6029, mean deviation of 0.4484, and Risk Adjusted Performance of 0.0267 to check out if the risk estimate we provide is consistent with the expected return of 0.0145%.

Mainstay Volatility 

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

60 Days Market Risk

Very steady

Chance of Distress

60 Days Economic Sensitivity

Follows the market closely

Mainstay Epoch Market Sensitivity And Downside Risk

Mainstay Epoch's beta coefficient measures the volatility of Mainstay 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 Mainstay mutual fund's returns against your selected market. In other words, Mainstay Epoch's beta of 0.73 provides an investor with an approximation of how much risk Mainstay Epoch mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Mainstay's beta means in this case. As returns on the market increase, Mainstay Epoch returns are expected to increase less than the market. However, during the bear market, the loss on holding Mainstay Epoch will be expected to be smaller as well.
3 Months Beta |Analyze Mainstay Epoch Global Demand Trend
Check current 90 days Mainstay Epoch correlation with market (DOW)

Mainstay Beta

    
  0.73  
Mainstay 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

    
  0.56  
It is essential to understand the difference between upside risk (as represented by Mainstay Epoch's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Mainstay Epoch stock's daily returns or price. Since the actual investment returns on holding a position in Mainstay Epoch 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 Mainstay Epoch.

Mainstay Epoch Global Mutual Fund Volatility Analysis

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

Mainstay Epoch Projected Return Density Against Market

Assuming the 90 days horizon Mainstay Epoch has a beta of 0.7298 suggesting as returns on the market go up, Mainstay Epoch average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Mainstay Epoch Global 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 Mainstay Epoch or New York Life Investment Management LLC 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 Mainstay Epoch 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 Mainstay 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. Mainstay Epoch Global is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Mainstay Epoch 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 Mainstay Epoch or New York Life Investment Management LLC 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 Mainstay Epoch 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 Mainstay 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 Mainstay Epoch is 3858.43. The daily returns are distributed with a variance of 0.31 and standard deviation of 0.56. The mean deviation of Mainstay Epoch Global is currently at 0.44. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
-0.0078
β
Beta against DOW0.73
σ
Overall volatility
0.56
Ir
Information ratio -0.03

Mainstay Epoch Mutual Fund Return Volatility

Mainstay Epoch historical daily return volatility represents how much Mainstay Epoch 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 0.5597% volatility of returns over 90 . By contrast, DOW inherits 0.7021% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Mainstay Epoch Volatility

Volatility is a rate at which the price of Mainstay Epoch 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 Mainstay Epoch may increase or decrease. In other words, similar to Mainstay's beta indicator, it measures the risk of Mainstay Epoch and helps estimate the fluctuations that may happen in a short period of time. So if prices of Mainstay Epoch 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 a high level of income capital appreciation is a secondary investment objective. Mainstay Epoch is traded on NASDAQ Exchange in the United States.

Mainstay Epoch Investment Opportunity

DOW has a standard deviation of returns of 0.7 and is 1.25 times more volatile than Mainstay Epoch Global. of all equities and portfolios are less risky than Mainstay Epoch. Compared to the overall equity markets, volatility of historical daily returns of Mainstay Epoch Global is lower than 4 () of all global equities and portfolios over the last 90 days. Use Mainstay Epoch Global to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend and little activity. Check odds of Mainstay Epoch to be traded at $20.05 in 90 days. . Let's try to break down what Mainstay's beta means in this case. As returns on the market increase, Mainstay Epoch returns are expected to increase less than the market. However, during the bear market, the loss on holding Mainstay Epoch will be expected to be smaller as well.

Almost no diversification

The correlation between Mainstay Epoch Global and DJI is Almost no diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mainstay Epoch Global and DJI in the same portfolio assuming nothing else is changed.

Mainstay Epoch Additional Risk Indicators

The analysis of Mainstay Epoch'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 Mainstay Epoch's investment and either accepting that risk or mitigating it. Along with some common measures of Mainstay Epoch 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 Performance0.0267
Market Risk Adjusted Performance0.0284
Mean Deviation0.4484
Semi Deviation0.5434
Downside Deviation0.6029
Coefficient Of Variation2430.35
Standard Deviation0.5699
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.

Mainstay Epoch 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 Mainstay Epoch 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. Mainstay Epoch'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, Mainstay Epoch'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 Mainstay Epoch Global.
Continue to Investing Opportunities. Note that the Mainstay Epoch Global information on this page should be used as a complementary analysis to other Mainstay Epoch'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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.

Complementary Tools for Mainstay Mutual Fund analysis

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