Nicholas Mutual Fund Volatility

NCTWX -  USA Fund  

USD 37.17  0.02  0.05%

We consider Nicholas very steady. Nicholas II has Sharpe Ratio of 0.12, which conveys that the entity had 0.12% 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-one technical indicators for Nicholas, which you can use to evaluate the future volatility of the fund. Please verify Nicholas II Mean Deviation of 0.5741, risk adjusted performance of 0.0646, and Downside Deviation of 0.7714 to check out if the risk estimate we provide is consistent with the expected return of 0.0918%.

Nicholas Volatility 

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

210 Days Market Risk

Very steady

Chance of Distress

Very Small

210 Days Economic Sensitivity

Follows the market closely

Nicholas Market Sensitivity And Downside Risk

Nicholas' beta coefficient measures the volatility of Nicholas 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 Nicholas mutual fund's returns against your selected market. In other words, Nicholas's beta of 0.85 provides an investor with an approximation of how much risk Nicholas mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Nicholas's beta means in this case. Nicholas returns are very sensitive to returns on the market. As the market goes up or down, Nicholas is expected to follow.
3 Months Beta |Analyze Nicholas II Demand Trend
Check current 90 days Nicholas correlation with market (DOW)

Nicholas Beta

    
  0.85  
Nicholas 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

    
  0.75  
It is essential to understand the difference between upside risk (as represented by Nicholas's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Nicholas stock's daily returns or price. Since the actual investment returns on holding a position in Nicholas 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 Nicholas.

Nicholas II Mutual Fund Volatility Analysis

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 Nicholas II price series. View also all equity analysis or get more info about median price price transform indicator.

Nicholas Projected Return Density Against Market

Assuming the 90 days horizon Nicholas has a beta of 0.8479 . This indicates as returns on the market go up, Nicholas average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Nicholas II 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 Nicholas or Nicholas 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 Nicholas 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 Nicholas 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 0.0478, implying that it can generate a 0.0478 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Nicholas 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 Nicholas or Nicholas 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 Nicholas 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 Nicholas 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 Nicholas is 815.03. The daily returns are distributed with a variance of 0.56 and standard deviation of 0.75. The mean deviation of Nicholas II is currently at 0.55. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
0.0478
β
Beta against DOW0.85
σ
Overall volatility
0.75
Ir
Information ratio 0.06

Nicholas Mutual Fund Return Volatility

Nicholas historical daily return volatility represents how much Nicholas 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 0.7485% volatility of returns over 90 . By contrast, DOW inherits 0.7351% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Nicholas Volatility

Volatility is a rate at which the price of Nicholas 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 Nicholas may increase or decrease. In other words, similar to Nicholas's beta indicator, it measures the risk of Nicholas and helps estimate the fluctuations that may happen in a short period of time. So if prices of Nicholas 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 increase the value of the investment over the long-term. Nicholas is traded on NASDAQ Exchange in the United States.

Nicholas Investment Opportunity

Nicholas II has a volatility of 0.75 and is 1.01 times more volatile than DOW. of all equities and portfolios are less risky than Nicholas. Compared to the overall equity markets, volatility of historical daily returns of Nicholas II is lower than 6 () of all global equities and portfolios over the last 90 days. Use Nicholas II to enhance returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of Nicholas to be traded at $39.03 in 90 days. . Let's try to break down what Nicholas's beta means in this case. As returns on the market increase, Nicholas returns are expected to increase less than the market. However, during the bear market, the loss on holding Nicholas will be expected to be smaller as well.

Very poor diversification

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

Nicholas Additional Risk Indicators

The analysis of Nicholas' 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 Nicholas' investment and either accepting that risk or mitigating it. Along with some common measures of Nicholas 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 Performance0.0646
Market Risk Adjusted Performance0.0728
Mean Deviation0.5741
Semi Deviation0.6633
Downside Deviation0.7714
Coefficient Of Variation1215.65
Standard Deviation0.7684
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.

Nicholas 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 Nicholas 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. Nicholas' 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, Nicholas' 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 Nicholas II.
Additionally, see Stocks Correlation. Note that the Nicholas II information on this page should be used as a complementary analysis to other Nicholas' 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.

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