American Mutual Fund Volatility

RERBX -  USA Fund  

USD 66.70  0.96  1.46%

American Funds - secures Sharpe Ratio (or Efficiency) of -0.0647, which signifies that the fund had -0.0647% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy in foreseeing 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. American Funds - exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm American Funds - risk adjusted performance of (0.05), and Mean Deviation of 0.714 to double-check the risk estimate we provide.

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

420 Days Market Risk

Very steady

Chance of Distress

Very Low

420 Days Economic Sensitivity

Barely shadows the market

American Funds Market Sensitivity And Downside Risk

American Funds' beta coefficient measures the volatility of American 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 American mutual fund's returns against your selected market. In other words, American Funds's beta of 0.019 provides an investor with an approximation of how much risk American Funds mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what American's beta means in this case. As returns on the market increase, American Funds returns are expected to increase less than the market. However, during the bear market, the loss on holding American Funds will be expected to be smaller as well.
3 Months Beta |Analyze American Funds - Demand Trend
Check current 90 days American Funds correlation with market (DOW)

American Beta

    
  0.019  
American 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

    
  0.96  
It is essential to understand the difference between upside risk (as represented by American Funds's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of American Funds stock's daily returns or price. Since the actual investment returns on holding a position in American Funds 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 American Funds.

American Funds - Mutual Fund Volatility Analysis

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

American Funds Projected Return Density Against Market

Assuming the 90 days horizon American Funds has a beta of 0.019 indicating as returns on the market go up, American Funds average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding American Funds - 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 American Funds or American 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 American Funds 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 American 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. American Funds - is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

American Funds 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 American Funds or American 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 American Funds 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 American 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 American Funds is -1546.25. The daily returns are distributed with a variance of 0.93 and standard deviation of 0.96. The mean deviation of American Funds - is currently at 0.71. For similar time horizon, the selected benchmark (DOW) has volatility of 0.73
α
Alpha over DOW
-0.08
β
Beta against DOW0.019
σ
Overall volatility
0.96
Ir
Information ratio -0.12

American Funds Mutual Fund Return Volatility

American Funds historical daily return volatility represents how much American Funds 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 0.9619% volatility of returns over 90 . By contrast, DOW inherits 0.7469% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About American Funds Volatility

Volatility is a rate at which the price of American Funds 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 American Funds may increase or decrease. In other words, similar to American's beta indicator, it measures the risk of American Funds and helps estimate the fluctuations that may happen in a short period of time. So if prices of American Funds 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 invests primarily in common stocks of issuers in Europe and the Pacific Basin that the investment adviser believes have the potential for growth. American Funds is traded on NASDAQ Exchange in the United States.

American Funds Investment Opportunity

American Funds - has a volatility of 0.96 and is 1.28 times more volatile than DOW. of all equities and portfolios are less risky than American Funds. Compared to the overall equity markets, volatility of historical daily returns of American Funds - is lower than 8 () of all global equities and portfolios over the last 90 days. Use American Funds - to enhance returns of your portfolios. The mutual fund experiences a large bullish trend. Check odds of American Funds to be traded at $73.37 in 90 days. . Let's try to break down what American's beta means in this case. As returns on the market increase, American Funds returns are expected to increase less than the market. However, during the bear market, the loss on holding American Funds will be expected to be smaller as well.

Significant diversification

The correlation between American Funds - and DJI is Significant diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding American Funds - and DJI in the same portfolio assuming nothing else is changed.

American Funds Additional Risk Indicators

The analysis of American Funds' 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 American Funds' investment and either accepting that risk or mitigating it. Along with some common measures of American Funds 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(0.05)
Market Risk Adjusted Performance(4.17)
Mean Deviation0.714
Coefficient Of Variation(1,383)
Standard Deviation0.9599
Variance0.9215
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.

American Funds 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 American Funds 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. American Funds' 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, American Funds' 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 American Funds -.
Additionally, take a look at Your Equity Center. Note that the American Funds - information on this page should be used as a complementary analysis to other American Funds' 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 Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.

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