OShaughnessy Mutual Fund Volatility

OFVIX -  USA Fund  

USD 18.24  0.05  0.27%

We consider OShaughnessy Market very steady. OShaughnessy Market maintains Sharpe Ratio (i.e., Efficiency) of 0.0775, which implies the entity had 0.0775% of return per unit of risk over the last 3 months. Our standpoint towards forecasting 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 OShaughnessy Market, which you can use to evaluate the future volatility of the fund. Please check OShaughnessy Market Risk Adjusted Performance of 0.0621, coefficient of variation of 1146.65, and Semi Deviation of 0.6494 to confirm if the risk estimate we provide is consistent with the expected return of 0.0577%.

OShaughnessy Volatility 

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

60 Days Market Risk

Very steady

Chance of Distress

Below Average

60 Days Economic Sensitivity

Almost mirrors the market

OShaughnessy Market Market Sensitivity And Downside Risk

OShaughnessy Market's beta coefficient measures the volatility of OShaughnessy 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 OShaughnessy mutual fund's returns against your selected market. In other words, OShaughnessy Market's beta of 0.95 provides an investor with an approximation of how much risk OShaughnessy Market mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what OShaughnessy's beta means in this case. OShaughnessy Market returns are very sensitive to returns on the market. As the market goes up or down, OShaughnessy Market is expected to follow.
3 Months Beta |Analyze OShaughnessy Market Demand Trend
Check current 90 days OShaughnessy Market correlation with market (DOW)

OShaughnessy Beta

    
  0.95  
OShaughnessy 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

    
  0.74  
It is essential to understand the difference between upside risk (as represented by OShaughnessy Market's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of OShaughnessy Market stock's daily returns or price. Since the actual investment returns on holding a position in OShaughnessy Market 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 OShaughnessy Market.

OShaughnessy Market Mutual Fund Volatility Analysis

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

OShaughnessy Market Projected Return Density Against Market

Assuming the 90 days horizon OShaughnessy Market has a beta of 0.9492 . This indicates OShaughnessy Market Leaders market returns are sensitive to returns on the market. As the market goes up or down, OShaughnessy Market 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 OShaughnessy Market or O'Shaughnessy Asset Management 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 OShaughnessy Market 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 OShaughnessy 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 0.0289, implying that it can generate a 0.0289 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

OShaughnessy Market 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 OShaughnessy Market or O'Shaughnessy Asset Management 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 OShaughnessy Market 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 OShaughnessy 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 OShaughnessy Market is 1290.42. The daily returns are distributed with a variance of 0.55 and standard deviation of 0.74. The mean deviation of OShaughnessy Market Leaders is currently at 0.59. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
0.0289
β
Beta against DOW0.95
σ
Overall volatility
0.74
Ir
Information ratio 0.0371

OShaughnessy Market Mutual Fund Return Volatility

OShaughnessy Market historical daily return volatility represents how much OShaughnessy Market 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 0.7441% volatility of returns over 90 . By contrast, DOW inherits 0.7131% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About OShaughnessy Market Volatility

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

OShaughnessy Market Investment Opportunity

OShaughnessy Market Leaders has a volatility of 0.74 and is 1.04 times more volatile than DOW. of all equities and portfolios are less risky than OShaughnessy Market. Compared to the overall equity markets, volatility of historical daily returns of OShaughnessy Market Leaders is lower than 6 () of all global equities and portfolios over the last 90 days. Use OShaughnessy Market Leaders to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend and little activity. Check odds of OShaughnessy Market to be traded at $18.06 in 90 days. . Let's try to break down what OShaughnessy's beta means in this case. OShaughnessy Market returns are very sensitive to returns on the market. As the market goes up or down, OShaughnessy Market is expected to follow.

Almost no diversification

The correlation between OShaughnessy Market Leaders and DJI is Almost no diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding OShaughnessy Market Leaders and DJI in the same portfolio assuming nothing else is changed.

OShaughnessy Market Additional Risk Indicators

The analysis of OShaughnessy Market'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 OShaughnessy Market's investment and either accepting that risk or mitigating it. Along with some common measures of OShaughnessy Market 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 Performance0.0621
Market Risk Adjusted Performance0.0675
Mean Deviation0.5936
Semi Deviation0.6494
Downside Deviation0.7544
Coefficient Of Variation1146.65
Standard Deviation0.7409
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.

OShaughnessy Market 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 OShaughnessy Market 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. OShaughnessy Market'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, OShaughnessy Market'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 OShaughnessy Market Leaders.
Please check Your Equity Center. Note that the OShaughnessy Market information on this page should be used as a complementary analysis to other OShaughnessy Market'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 CEO Directory module to screen CEOs from public companies around the world.

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