Multifactor Mutual Fund Volatility

RTISX -  USA Fund  

USD 10.81  0.00  0.00%

Multifactor International has Sharpe Ratio of -0.0276, which conveys that the entity had -0.0276% of return per unit of risk over the last 3 months. Macroaxis standpoint towards estimating 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. Multifactor International exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Multifactor International Equity risk adjusted performance of (0.023656), and Mean Deviation of 0.5968 to check out the risk estimate we provide.

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

60 Days Market Risk

Very steady

Chance of Distress

Below Average

60 Days Economic Sensitivity

Moves indifferently to market moves

Multifactor International Market Sensitivity And Downside Risk

Multifactor International's beta coefficient measures the volatility of Multifactor 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 Multifactor mutual fund's returns against your selected market. In other words, Multifactor International's beta of -0.11 provides an investor with an approximation of how much risk Multifactor International mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Multifactor's beta means in this case. As returns on the market increase, returns on owning Multifactor International are expected to decrease at a much lower rate. During the bear market, Multifactor International is likely to outperform the market.
3 Months Beta |Analyze Multifactor International Demand Trend
Check current 90 days Multifactor International correlation with market (DOW)

Multifactor Beta

    
  -0.11  
Multifactor 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

    
  0.86  
It is essential to understand the difference between upside risk (as represented by Multifactor International's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Multifactor International stock's daily returns or price. Since the actual investment returns on holding a position in Multifactor International 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 Multifactor International.

Multifactor International Mutual Fund Volatility Analysis

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

Multifactor International Projected Return Density Against Market

Assuming the 90 days horizon Multifactor International Equity has a beta of -0.1103 indicating as returns on benchmark increase, returns on holding Multifactor International are expected to decrease at a much lower rate. During the bear market, however, Multifactor International Equity 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 Multifactor International or Russell 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 Multifactor International 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 Multifactor 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. Multifactor International is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Multifactor International 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 Multifactor International or Russell 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 Multifactor International 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 Multifactor 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 Multifactor International is -3621.05. The daily returns are distributed with a variance of 0.75 and standard deviation of 0.86. The mean deviation of Multifactor International Equity is currently at 0.59. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.04
β
Beta against DOW-0.11
σ
Overall volatility
0.86
Ir
Information ratio -0.09

Multifactor International Mutual Fund Return Volatility

Multifactor International historical daily return volatility represents how much Multifactor International 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 0.8632% volatility of returns over 90 . By contrast, DOW inherits 0.7173% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Multifactor International Volatility

Volatility is a rate at which the price of Multifactor International 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 Multifactor International may increase or decrease. In other words, similar to Multifactor's beta indicator, it measures the risk of Multifactor International and helps estimate the fluctuations that may happen in a short period of time. So if prices of Multifactor International 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 growth. The fund has a non-fundamental policy to invest, under normal circumstances, at least 80 percent of the value of its net assets plus borrowings for investment purposes in equity securities. It invests principally in equity securities, including common stocks issued by companies economically tied to or located in developed market countries, other than the U.S.

Multifactor International Investment Opportunity

Multifactor International Equity has a volatility of 0.86 and is 1.19 times more volatile than DOW. of all equities and portfolios are less risky than Multifactor International. Compared to the overall equity markets, volatility of historical daily returns of Multifactor International Equity is lower than 7 () of all global equities and portfolios over the last 90 days. Use Multifactor International Equity 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 Multifactor International to be traded at $10.7 in 90 days. . Let's try to break down what Multifactor's beta means in this case. As returns on the market increase, returns on owning Multifactor International are expected to decrease at a much lower rate. During the bear market, Multifactor International is likely to outperform the market.

Good diversification

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

Multifactor International Additional Risk Indicators

The analysis of Multifactor International'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 Multifactor International's investment and either accepting that risk or mitigating it. Along with some common measures of Multifactor International 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(0.023656)
Market Risk Adjusted Performance0.3825
Mean Deviation0.5968
Coefficient Of Variation(2,723)
Standard Deviation0.8464
Variance0.7164
Information Ratio(0.09)
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.

Multifactor International 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 Multifactor International 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. Multifactor International'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, Multifactor International'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 Multifactor International Equity.
Additionally, take a look at Your Equity Center. Note that the Multifactor International information on this page should be used as a complementary analysis to other Multifactor International'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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.

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Please note, there is a significant difference between Multifactor International's value and its price as these two are different measures arrived at by different means. Investors typically determine Multifactor International value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Multifactor International'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.