Transamerica Mutual Fund Volatility

ILLLX -  USA Fund  

USD 13.74  0.20  1.43%

Transamerica Capital owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.12, which indicates the fund had -0.12% of return per unit of risk over the last 3 months. Macroaxis standpoint towards measuring 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. Transamerica Capital Growth exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Transamerica Capital coefficient of variation of (662.64), and Risk Adjusted Performance of (0.20) to confirm the risk estimate we provide.
  
Refresh
Transamerica Capital 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 Transamerica daily returns, and it is calculated using variance and standard deviation. We also use Transamerica's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Transamerica Capital volatility.

480 Days Market Risk

Out of control

Chance of Distress

Very Small

480 Days Economic Sensitivity

Ignores market trends
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Transamerica Capital 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 Transamerica Capital at lower prices. For example, an investor can purchase Transamerica 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 Transamerica Capital'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.

Moving together with Transamerica Capital

0.96RGAAXGrowth FundPairCorr
0.96GFACXGrowth FundPairCorr
0.96RGAFXGrowth FundPairCorr
0.96RGAEXGrowth FundPairCorr
0.96CGFEXGrowth FundPairCorr
0.96CGFAXGrowth FundPairCorr
0.96CGFCXGrowth FundPairCorr

Moving against Transamerica Capital

-0.66XOMExxon Mobil CorpPairCorr
-0.55IBMInternational BusinessPairCorr

Transamerica Capital Market Sensitivity And Downside Risk

Transamerica Capital's beta coefficient measures the volatility of Transamerica 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 Transamerica mutual fund's returns against your selected market. In other words, Transamerica Capital's beta of 2.33 provides an investor with an approximation of how much risk Transamerica Capital mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Transamerica's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Transamerica Capital will likely underperform.
3 Months Beta |Analyze Transamerica Capital Demand Trend
Check current 90 days Transamerica Capital correlation with market (DOW)

Transamerica Beta

    
  2.33  
Transamerica 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

    
  4.67  
It is essential to understand the difference between upside risk (as represented by Transamerica Capital's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Transamerica Capital stock's daily returns or price. Since the actual investment returns on holding a position in Transamerica Capital 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 Transamerica Capital.

Transamerica Capital Mutual Fund Volatility Analysis

Volatility refers to the frequency at which Transamerica Capital stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Transamerica Capital's price changes. Investors will then calculate the volatility of Transamerica Capital'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 Transamerica Capital's volatility:

Historical Volatility

This type of stock volatility measures Transamerica Capital's fluctuations based on previous trends. It's commonly used to predict Transamerica Capital'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 Transamerica Capital'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. The Median Price line plots median indexes of Transamerica Capital price series.
.

Transamerica Capital Projected Return Density Against Market

Assuming the 90 days horizon the mutual fund has the beta coefficient of 2.3261 . This usually indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Transamerica Capital will likely underperform.
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 Transamerica Capital or Transamerica 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 Transamerica Capital 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 Transamerica 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. Transamerica Capital is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Transamerica Capital's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Transamerica Capital 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.

Transamerica Capital 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 Transamerica Capital or Transamerica 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 Transamerica Capital 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 Transamerica 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 Transamerica Capital is -848.05. The daily returns are distributed with a variance of 21.83 and standard deviation of 4.67. The mean deviation of Transamerica Capital Growth is currently at 3.89. For similar time horizon, the selected benchmark (DOW) has volatility of 1.35
α
Alpha over DOW
-0.32
β
Beta against DOW2.33
σ
Overall volatility
4.67
Ir
Information ratio -0.12

Transamerica Capital Mutual Fund Return Volatility

Transamerica Capital historical daily return volatility represents how much Transamerica Capital 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 4.6727% volatility of returns over 90 . By contrast, DOW inherits 1.3304% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Transamerica Capital Volatility

Volatility is a rate at which the price of Transamerica Capital 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 Transamerica Capital may increase or decrease. In other words, similar to Transamerica's beta indicator, it measures the risk of Transamerica Capital and helps estimate the fluctuations that may happen in a short period of time. So if prices of Transamerica Capital 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 seeks long-term capital growth by investing primarily in established and emerging companies with capitalizations at the time of purchase within the range of companies included in the Russell 1000 Growth Index. Transamerica Capital is traded on NASDAQ Exchange in the United States.

Transamerica Capital Investment Opportunity

Transamerica Capital Growth has a volatility of 4.67 and is 3.51 times more volatile than DOW. 40  of all equities and portfolios are less risky than Transamerica Capital. Compared to the overall equity markets, volatility of historical daily returns of Transamerica Capital Growth is lower than 40 () of all global equities and portfolios over the last 90 days. Use Transamerica Capital Growth to protect your portfolios against small market fluctuations. The mutual fund experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Transamerica Capital to be traded at $13.33 in 90 days. . Let's try to break down what Transamerica's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Transamerica Capital will likely underperform.

Poor diversification

The correlation between Transamerica Capital Growth and DJI is Poor diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Transamerica Capital Growth and DJI in the same portfolio, assuming nothing else is changed.

Transamerica Capital Additional Risk Indicators

The analysis of Transamerica Capital'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 Transamerica Capital's investment and either accepting that risk or mitigating it. Along with some common measures of Transamerica Capital 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(0.20)
Market Risk Adjusted Performance(0.30)
Mean Deviation3.89
Coefficient Of Variation(662.64)
Standard Deviation4.65
Variance21.62
Information Ratio(0.12)
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.

Transamerica Capital 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.
Ford vs. Transamerica Capital
Walker Dunlop vs. Transamerica Capital
Microsoft Corp vs. Transamerica Capital
Visa vs. Transamerica Capital
Citigroup vs. Transamerica Capital
Vmware vs. Transamerica Capital
Atlassian Cls vs. Transamerica Capital
Sentinelone Inc vs. Transamerica Capital
LINGYI ITECH vs. Transamerica Capital
Salesforce vs. Transamerica Capital
GM vs. Transamerica Capital
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 Transamerica Capital 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. Transamerica Capital'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, Transamerica Capital'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 Transamerica Capital Growth.
Please see Risk vs Return Analysis. Note that the Transamerica Capital information on this page should be used as a complementary analysis to other Transamerica Capital'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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..

Complementary Tools for Transamerica Mutual Fund analysis

When running Transamerica Capital price analysis, check to measure Transamerica Capital'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 Transamerica Capital is operating at the current time. Most of Transamerica Capital's value examination focuses on studying past and present price action to predict the probability of Transamerica Capital's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Transamerica Capital's price. Additionally, you may evaluate how the addition of Transamerica Capital to your portfolios can decrease your overall portfolio volatility.
Competition Analyzer
Analyze and compare many basic indicators for a group of related or unrelated entities
Go
Bollinger Bands
Use Bollinger Bands indicator to analyze target price for a given investing horizon
Go
Aroon Oscillator
Analyze current equity momentum using Aroon Oscillator and other momentum ratios
Go
Earnings Calls
Check upcoming earnings announcements updated hourly across public exchanges
Go
Price Ceiling Movement
Calculate and plot Price Ceiling Movement for different equity instruments
Go
Pair Correlation
Compare performance and examine fundamental relationship between any two equity instruments
Go
Alpha Finder
Use alpha and beta coefficients to find investment opportunities after accounting for the risk
Go
Technical Analysis
Check basic technical indicators and analysis based on most latest market data
Go
Headlines Timeline
Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity
Go
Please note, there is a significant difference between Transamerica Capital's value and its price as these two are different measures arrived at by different means. Investors typically determine Transamerica Capital value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Transamerica Capital'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.