Tax-Managed Mutual Fund Volatility

RTNSX -  USA Fund  

USD 12.85  0.00  0.00%

We consider Tax-Managed International very steady. Tax-Managed International owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0436, which indicates the fund had 0.0436% of return per unit of risk over the last 3 months. Our standpoint towards measuring 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 Tax-Managed International Equity, which you can use to evaluate the future volatility of the fund. Please validate Tax-Managed International Semi Deviation of 0.694, coefficient of variation of 11793.79, and Risk Adjusted Performance of 0.0062 to confirm if the risk estimate we provide is consistent with the expected return of 0.0323%.

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

30 Days Market Risk

Very steady

Chance of Distress

30 Days Economic Sensitivity

Moves indifferently to market moves

Tax-Managed International Market Sensitivity And Downside Risk

Tax-Managed International's beta coefficient measures the volatility of Tax-Managed 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 Tax-Managed mutual fund's returns against your selected market. In other words, Tax-Managed International's beta of -0.16 provides an investor with an approximation of how much risk Tax-Managed International mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Tax-Managed's beta means in this case. As returns on the market increase, returns on owning Tax-Managed International are expected to decrease at a much lower rate. During the bear market, Tax-Managed International is likely to outperform the market.
3 Months Beta |Analyze Tax-Managed International Demand Trend
Check current 90 days Tax-Managed International correlation with market (DOW)

Tax-Managed Beta

    
  -0.16  
Tax-Managed 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 Tax-Managed International's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Tax-Managed International stock's daily returns or price. Since the actual investment returns on holding a position in Tax-Managed 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 Tax-Managed International.

Tax-Managed International Mutual Fund Volatility Analysis

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Tax-Managed International Projected Return Density Against Market

Assuming the 90 days horizon Tax-Managed International Equity has a beta of -0.1586 indicating as returns on benchmark increase, returns on holding Tax-Managed International are expected to decrease at a much lower rate. During the bear market, however, Tax-Managed 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 Tax-Managed 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 Tax-Managed 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 Tax-Managed 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. Tax-Managed International is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Tax-Managed 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 Tax-Managed 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 Tax-Managed 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 Tax-Managed 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 Tax-Managed International is 2295.7. The daily returns are distributed with a variance of 0.55 and standard deviation of 0.74. The mean deviation of Tax-Managed International Equity is currently at 0.56. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.0013
β
Beta against DOW-0.16
σ
Overall volatility
0.74
Ir
Information ratio -0.03

Tax-Managed International Mutual Fund Return Volatility

Tax-Managed International historical daily return volatility represents how much Tax-Managed 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 0.7416% volatility of returns over 90 . By contrast, DOW inherits 0.6351% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Tax-Managed International Volatility

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

Tax-Managed International Investment Opportunity

Tax-Managed International Equity has a volatility of 0.74 and is 1.16 times more volatile than DOW. of all equities and portfolios are less risky than Tax-Managed International. Compared to the overall equity markets, volatility of historical daily returns of Tax-Managed International Equity is lower than 6 () of all global equities and portfolios over the last 90 days. Use Tax-Managed 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 Tax-Managed International to be traded at $12.72 in 90 days. . Let's try to break down what Tax-Managed's beta means in this case. As returns on the market increase, returns on owning Tax-Managed International are expected to decrease at a much lower rate. During the bear market, Tax-Managed International is likely to outperform the market.

Good diversification

The correlation between Tax-Managed 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 Tax-Managed International Equi and DJI in the same portfolio assuming nothing else is changed.

Tax-Managed International Additional Risk Indicators

The analysis of Tax-Managed 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 Tax-Managed International's investment and either accepting that risk or mitigating it. Along with some common measures of Tax-Managed 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 Performance0.0062
Market Risk Adjusted Performance0.0348
Mean Deviation0.5398
Semi Deviation0.694
Downside Deviation0.8219
Coefficient Of Variation11793.79
Standard Deviation0.7153
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.

Tax-Managed 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 Tax-Managed 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. Tax-Managed 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, Tax-Managed 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 Tax-Managed International Equity.
Additionally, take a look at Your Equity Center. Note that the Tax-Managed International information on this page should be used as a complementary analysis to other Tax-Managed 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.

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