First Mutual Fund Volatility

FEGIX -  USA Fund  

USD 23.10  0.00  0.00%

First Eagle Gold secures Sharpe Ratio (or Efficiency) of -0.0822, which denotes the fund had -0.0822% of return per unit of risk over the last 3 months. Macroaxis standpoint towards predicting 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. First Eagle Gold exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm First Eagle Gold coefficient of variation of (974.21), and Mean Deviation of 0.8432 to check the risk estimate we provide.

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

30 Days Market Risk

Very steady

Chance of Distress

Very Small

30 Days Economic Sensitivity

Almost neglects market trends

First Eagle Market Sensitivity And Downside Risk

First Eagle's beta coefficient measures the volatility of First 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 First mutual fund's returns against your selected market. In other words, First Eagle's beta of -0.31 provides an investor with an approximation of how much risk First Eagle mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what First's beta means in this case. As returns on the market increase, returns on owning First Eagle are expected to decrease at a much lower rate. During the bear market, First Eagle is likely to outperform the market.
3 Months Beta |Analyze First Eagle Gold Demand Trend
Check current 90 days First Eagle correlation with market (DOW)

First Beta

    
  -0.31  
First 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

    
  1.2  
It is essential to understand the difference between upside risk (as represented by First Eagle's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of First Eagle stock's daily returns or price. Since the actual investment returns on holding a position in First Eagle 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 First Eagle.

First Eagle Gold Mutual Fund Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. First Eagle Gold 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.

First Eagle Projected Return Density Against Market

Assuming the 90 days horizon First Eagle Gold has a beta of -0.3136 . This usually indicates as returns on benchmark increase, returns on holding First Eagle are expected to decrease at a much lower rate. During the bear market, however, First Eagle Gold 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 First Eagle or First Eagle 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 First Eagle 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 First 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. First Eagle Gold is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

First Eagle 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 First Eagle or First Eagle 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 First Eagle 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 First 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 First Eagle is -1216.78. The daily returns are distributed with a variance of 1.43 and standard deviation of 1.2. The mean deviation of First Eagle Gold is currently at 0.9. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.12
β
Beta against DOW-0.31
σ
Overall volatility
1.20
Ir
Information ratio -0.14

First Eagle Mutual Fund Return Volatility

First Eagle historical daily return volatility represents how much First Eagle 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 1.1976% volatility of returns over 90 . By contrast, DOW inherits 0.7173% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About First Eagle Volatility

Volatility is a rate at which the price of First Eagle 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 First Eagle may increase or decrease. In other words, similar to First's beta indicator, it measures the risk of First Eagle and helps estimate the fluctuations that may happen in a short period of time. So if prices of First Eagle 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 to provide investors the opportunity to participate in the investment characteristics of gold for a portion of their overall investment portfolio. First Eagle is traded on NASDAQ Exchange in the United States.

First Eagle Investment Opportunity

First Eagle Gold has a volatility of 1.2 and is 1.67 times more volatile than DOW. 10  of all equities and portfolios are less risky than First Eagle. Compared to the overall equity markets, volatility of historical daily returns of First Eagle Gold is lower than 10 () of all global equities and portfolios over the last 90 days. Use First Eagle Gold to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of First Eagle to be traded at $22.87 in 90 days. . Let's try to break down what First's beta means in this case. As returns on the market increase, returns on owning First Eagle are expected to decrease at a much lower rate. During the bear market, First Eagle is likely to outperform the market.

Good diversification

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

First Eagle Additional Risk Indicators

The analysis of First Eagle'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 First Eagle's investment and either accepting that risk or mitigating it. Along with some common measures of First Eagle 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(0.07)
Market Risk Adjusted Performance0.4165
Mean Deviation0.8432
Coefficient Of Variation(974.21)
Standard Deviation1.14
Variance1.31
Information Ratio(0.14)
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.

First Eagle 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 First Eagle 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. First Eagle'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, First Eagle'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 First Eagle Gold.
Please check Investing Opportunities. Note that the First Eagle Gold information on this page should be used as a complementary analysis to other First Eagle'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 Transaction History module to view history of all your transactions and understand their impact on performance.

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