Neuberger Mutual Fund Volatility

NBPIX -  USA Fund  

USD 46.66  0.08  0.17%

We consider Neuberger Berman very steady. Neuberger Berman Large has Sharpe Ratio of 0.1, which conveys that the entity had 0.1% 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 Neuberger Berman, which you can use to evaluate the future volatility of the fund. Please verify Neuberger Berman Large Mean Deviation of 0.7547, downside deviation of 0.7733, and Risk Adjusted Performance of 0.0744 to check out if the risk estimate we provide is consistent with the expected return of 0.089%.

Neuberger Volatility 

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

720 Days Market Risk

Very steady

Chance of Distress

Very Small

720 Days Economic Sensitivity

Almost mirrors the market

Neuberger Berman Market Sensitivity And Downside Risk

Neuberger Berman's beta coefficient measures the volatility of Neuberger 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 Neuberger mutual fund's returns against your selected market. In other words, Neuberger Berman's beta of 1.08 provides an investor with an approximation of how much risk Neuberger Berman mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Neuberger's beta means in this case. Neuberger Berman returns are very sensitive to returns on the market. As the market goes up or down, Neuberger Berman is expected to follow.
3 Months Beta |Analyze Neuberger Berman Large Demand Trend
Check current 90 days Neuberger Berman correlation with market (DOW)

Neuberger Beta

    
  1.08  
Neuberger 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

    
  0.89  
It is essential to understand the difference between upside risk (as represented by Neuberger Berman's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Neuberger Berman stock's daily returns or price. Since the actual investment returns on holding a position in Neuberger Berman 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 Neuberger Berman.

Neuberger Berman Large Mutual Fund Volatility Analysis

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The output start index for this execution was zero with a total number of output elements of sixty-one. Neuberger Berman Large 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.

Neuberger Berman Projected Return Density Against Market

Assuming the 90 days horizon the mutual fund has the beta coefficient of 1.0762 . This indicates Neuberger Berman Large market returns are sensitive to returns on the market. As the market goes up or down, Neuberger Berman is expected to follow.
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 Neuberger Berman or Neuberger Berman 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 Neuberger Berman 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 Neuberger 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 0.0519, implying that it can generate a 0.0519 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Neuberger Berman 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 Neuberger Berman or Neuberger Berman 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 Neuberger Berman 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 Neuberger 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 Neuberger Berman is 995.73. The daily returns are distributed with a variance of 0.79 and standard deviation of 0.89. The mean deviation of Neuberger Berman Large is currently at 0.75. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
0.05
β
Beta against DOW1.08
σ
Overall volatility
0.89
Ir
Information ratio 0.06

Neuberger Berman Mutual Fund Return Volatility

Neuberger Berman historical daily return volatility represents how much Neuberger Berman 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 0.8865% volatility of returns over 90 . By contrast, DOW inherits 0.7076% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Neuberger Berman Volatility

Volatility is a rate at which the price of Neuberger Berman 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 Neuberger Berman may increase or decrease. In other words, similar to Neuberger's beta indicator, it measures the risk of Neuberger Berman and helps estimate the fluctuations that may happen in a short period of time. So if prices of Neuberger Berman 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 normally invests at least 80 percent of its net assets in equity securities of large-capitalization companies, which it defines as those with a market capitalization within the market capitalization range of the Russell 1000 Value Index at the time of purchase. Neuberger Berman is traded on NASDAQ Exchange in the United States.

Neuberger Berman Investment Opportunity

Neuberger Berman Large has a volatility of 0.89 and is 1.25 times more volatile than DOW. of all equities and portfolios are less risky than Neuberger Berman. Compared to the overall equity markets, volatility of historical daily returns of Neuberger Berman Large is lower than 7 () of all global equities and portfolios over the last 90 days. Use Neuberger Berman Large to enhance returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of Neuberger Berman to be traded at $48.99 in 90 days. . Let's try to break down what Neuberger's beta means in this case. Neuberger Berman returns are very sensitive to returns on the market. As the market goes up or down, Neuberger Berman is expected to follow.

Very poor diversification

The correlation between Neuberger Berman Large and DJI is Very poor diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Neuberger Berman Large and DJI in the same portfolio assuming nothing else is changed.

Neuberger Berman Additional Risk Indicators

The analysis of Neuberger Berman'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 Neuberger Berman's investment and either accepting that risk or mitigating it. Along with some common measures of Neuberger Berman 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 Performance0.0744
Market Risk Adjusted Performance0.0854
Mean Deviation0.7547
Semi Deviation0.6856
Downside Deviation0.7733
Coefficient Of Variation976.5
Standard Deviation0.8897
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.

Neuberger Berman 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 Neuberger Berman 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. Neuberger Berman'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, Neuberger Berman'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 Neuberger Berman Large.
Additionally, see Stocks Correlation. Note that the Neuberger Berman Large information on this page should be used as a complementary analysis to other Neuberger Berman'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.

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