Tiaa-Cref Mutual Fund Volatility

TIHYX -  USA Fund  

USD 9.59  0.03  0.31%

We consider Tiaa-Cref High very steady. Tiaa-Cref High Yield owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.12, which indicates the fund had 0.12% 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 Tiaa-Cref High Yield, which you can use to evaluate the future volatility of the fund. Please validate Tiaa-Cref High coefficient of variation of (1,852), and Risk Adjusted Performance of (0.09) to confirm if the risk estimate we provide is consistent with the expected return of 0.0179%.

Tiaa-Cref Volatility 

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

360 Days Market Risk

Very steady

Chance of Distress

Very Small

360 Days Economic Sensitivity

Barely shadows the market

Tiaa-Cref High Market Sensitivity And Downside Risk

Tiaa-Cref High's beta coefficient measures the volatility of Tiaa-Cref 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 Tiaa-Cref mutual fund's returns against your selected market. In other words, Tiaa-Cref High's beta of 0.0924 provides an investor with an approximation of how much risk Tiaa-Cref High mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Tiaa-Cref's beta means in this case. As returns on the market increase, Tiaa-Cref High returns are expected to increase less than the market. However, during the bear market, the loss on holding Tiaa-Cref High will be expected to be smaller as well.
3 Months Beta |Analyze Tiaa-Cref High Yield Demand Trend
Check current 90 days Tiaa-Cref High correlation with market (DOW)

Tiaa-Cref Beta

    
  0.0924  
Tiaa-Cref 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

    
  0.15  
It is essential to understand the difference between upside risk (as represented by Tiaa-Cref High's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Tiaa-Cref High stock's daily returns or price. Since the actual investment returns on holding a position in Tiaa-Cref High 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 Tiaa-Cref High.

Tiaa-Cref High Yield Mutual Fund Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Tiaa-Cref High Yield price series. View also all equity analysis or get more info about median price price transform indicator.

Tiaa-Cref High Projected Return Density Against Market

Assuming the 90 days horizon Tiaa-Cref High has a beta of 0.0924 . This usually implies as returns on the market go up, Tiaa-Cref High average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Tiaa-Cref High Yield 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 Tiaa-Cref High or TIAA Investments 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 Tiaa-Cref High 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 Tiaa-Cref 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. Tiaa-Cref High Yield is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Tiaa-Cref High 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 Tiaa-Cref High or TIAA Investments 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 Tiaa-Cref High 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 Tiaa-Cref 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 Tiaa-Cref High is 856.26. The daily returns are distributed with a variance of 0.02 and standard deviation of 0.15. The mean deviation of Tiaa-Cref High Yield is currently at 0.11. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
-0.02
β
Beta against DOW0.09
σ
Overall volatility
0.15
Ir
Information ratio -0.17

Tiaa-Cref High Mutual Fund Return Volatility

Tiaa-Cref High historical daily return volatility represents how much Tiaa-Cref High 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 0.153% volatility of returns over 90 . By contrast, DOW inherits 0.7351% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Tiaa-Cref High Volatility

Volatility is a rate at which the price of Tiaa-Cref High 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 Tiaa-Cref High may increase or decrease. In other words, similar to Tiaa-Cref's beta indicator, it measures the risk of Tiaa-Cref High and helps estimate the fluctuations that may happen in a short period of time. So if prices of Tiaa-Cref High 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 total return primarily through high current income and, when consistent with its primary objective, capital appreciation. Tiaa-Cref High is traded on NASDAQ Exchange in the United States.

Tiaa-Cref High Investment Opportunity

DOW has a standard deviation of returns of 0.74 and is 4.93 times more volatile than Tiaa-Cref High Yield. of all equities and portfolios are less risky than Tiaa-Cref High. Compared to the overall equity markets, volatility of historical daily returns of Tiaa-Cref High Yield is lower than 1 () of all global equities and portfolios over the last 90 days. Use Tiaa-Cref High Yield to enhance returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of Tiaa-Cref High to be traded at $10.07 in 90 days. . Let's try to break down what Tiaa-Cref's beta means in this case. As returns on the market increase, Tiaa-Cref High returns are expected to increase less than the market. However, during the bear market, the loss on holding Tiaa-Cref High will be expected to be smaller as well.

Very weak diversification

The correlation between Tiaa-Cref High Yield and DJI is Very weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tiaa-Cref High Yield and DJI in the same portfolio assuming nothing else is changed.

Tiaa-Cref High Additional Risk Indicators

The analysis of Tiaa-Cref High'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 Tiaa-Cref High's investment and either accepting that risk or mitigating it. Along with some common measures of Tiaa-Cref High 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(0.09)
Market Risk Adjusted Performance(0.18)
Mean Deviation0.0967
Coefficient Of Variation(1,852)
Standard Deviation0.144
Variance0.0207
Information Ratio(0.17)
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.

Tiaa-Cref High 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 Tiaa-Cref High 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. Tiaa-Cref High'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, Tiaa-Cref High'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 Tiaa-Cref High Yield.
Additionally, take a look at World Market Map. Note that the Tiaa-Cref High Yield information on this page should be used as a complementary analysis to other Tiaa-Cref High'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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.

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