Northern Mutual Fund Volatility

NUESX -  USA Fund  

USD 17.86  0.000001  0.00%

We consider Northern very steady. Northern US Quality has Sharpe Ratio of 0.0592, which conveys that the entity had 0.0592% 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 Northern, which you can use to evaluate the future volatility of the fund. Please verify Northern US Quality Mean Deviation of 0.4878, downside deviation of 0.7333, and Risk Adjusted Performance of 0.0625 to check out if the risk estimate we provide is consistent with the expected return of 0.0379%.

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

270 Days Market Risk

Very steady

Chance of Distress

Very Small

270 Days Economic Sensitivity

Almost neglects market trends

Northern Market Sensitivity And Downside Risk

Northern's beta coefficient measures the volatility of Northern 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 Northern mutual fund's returns against your selected market. In other words, Northern's beta of -0.23 provides an investor with an approximation of how much risk Northern mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Northern's beta means in this case. As returns on the market increase, returns on owning Northern are expected to decrease at a much lower rate. During the bear market, Northern is likely to outperform the market.
3 Months Beta |Analyze Northern US Quality Demand Trend
Check current 90 days Northern correlation with market (DOW)

Northern Beta

    
  -0.23  
Northern 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

    
  0.64  
It is essential to understand the difference between upside risk (as represented by Northern's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Northern stock's daily returns or price. Since the actual investment returns on holding a position in Northern 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 Northern.

Northern US Quality Mutual Fund Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Northern US Quality 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.

Northern Projected Return Density Against Market

Assuming the 90 days horizon Northern US Quality has a beta of -0.2297 . This indicates as returns on benchmark increase, returns on holding Northern are expected to decrease at a much lower rate. During the bear market, however, Northern US Quality 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 Northern or Northern Funds 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 Northern 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 Northern 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 0.0577, implying that it can generate a 0.0577 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Northern 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 Northern or Northern Funds 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 Northern 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 Northern 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 Northern is 1690.47. The daily returns are distributed with a variance of 0.41 and standard deviation of 0.64. The mean deviation of Northern US Quality is currently at 0.47. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
0.06
β
Beta against DOW-0.23
σ
Overall volatility
0.64
Ir
Information ratio 0.0256

Northern Mutual Fund Return Volatility

Northern historical daily return volatility represents how much Northern 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 0.64% volatility of returns over 90 . By contrast, DOW inherits 0.7173% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Northern Volatility

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

Northern Investment Opportunity

DOW has a standard deviation of returns of 0.72 and is 1.13 times more volatile than Northern US Quality. of all equities and portfolios are less risky than Northern. Compared to the overall equity markets, volatility of historical daily returns of Northern US Quality is lower than 5 () of all global equities and portfolios over the last 90 days. Use Northern US Quality 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 Northern to be traded at $17.68 in 90 days. . Let's try to break down what Northern's beta means in this case. As returns on the market increase, returns on owning Northern are expected to decrease at a much lower rate. During the bear market, Northern is likely to outperform the market.

Very good diversification

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

Northern Additional Risk Indicators

The analysis of Northern'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 Northern's investment and either accepting that risk or mitigating it. Along with some common measures of Northern 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 Performance0.0625
Market Risk Adjusted Performance(0.21)
Mean Deviation0.4878
Semi Deviation0.574
Downside Deviation0.7333
Coefficient Of Variation1101.85
Standard Deviation0.6623
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.

Northern 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 Northern 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. Northern'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, Northern'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 Northern US Quality.
Additionally, see Stocks Correlation. Note that the Northern US Quality information on this page should be used as a complementary analysis to other Northern'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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.

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