Morgan Mutual Fund Volatility

XIIFX -  USA Fund  

USD 33.04  0.17  0.52%

Morgan Stanley appears to be very steady, given 3 months investment horizon. Morgan Stanley India has Sharpe Ratio of 0.23, which conveys that the entity had 0.23% of return per unit of risk over the last 3 months. Our standpoint towards estimating 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 Morgan Stanley, which you can use to evaluate the future volatility of the fund. Please exercise Morgan Stanley's Downside Deviation of 0.7907, mean deviation of 0.6319, and Risk Adjusted Performance of 0.1795 to check out if our risk estimates are consistent with your expectations.

Morgan Volatility 

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

Morgan Stanley Market Sensitivity And Downside Risk

Morgan Stanley's beta coefficient measures the volatility of Morgan 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 Morgan mutual fund's returns against your selected market. In other words, Morgan Stanley's beta of 0.6 provides an investor with an approximation of how much risk Morgan Stanley mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Morgan's beta means in this case. As returns on the market increase, Morgan Stanley returns are expected to increase less than the market. However, during the bear market, the loss on holding Morgan Stanley will be expected to be smaller as well.
3 Months Beta |Analyze Morgan Stanley India Demand Trend
Check current 90 days Morgan Stanley correlation with market (DOW)

Morgan Beta

    
  0.6  
Morgan 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

    
  0.85  
It is essential to understand the difference between upside risk (as represented by Morgan Stanley's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Morgan Stanley stock's daily returns or price. Since the actual investment returns on holding a position in Morgan Stanley 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 Morgan Stanley.

Morgan Stanley India Mutual Fund Volatility Analysis

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

Morgan Stanley Projected Return Density Against Market

Assuming the 90 days horizon Morgan Stanley has a beta of 0.599 . This entails as returns on the market go up, Morgan Stanley average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Morgan Stanley India 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 Morgan Stanley or Morgan Stanley India 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 Morgan Stanley 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 Morgan 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 0.1747, implying that it can generate a 0.17 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Morgan Stanley 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 Morgan Stanley or Morgan Stanley India 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 Morgan Stanley 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 Morgan 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 Morgan Stanley is 425.64. The daily returns are distributed with a variance of 0.72 and standard deviation of 0.85. The mean deviation of Morgan Stanley India is currently at 0.64. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
0.17
β
Beta against DOW0.60
σ
Overall volatility
0.85
Ir
Information ratio 0.19

Morgan Stanley Mutual Fund Return Volatility

Morgan Stanley historical daily return volatility represents how much Morgan Stanley 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 0.8466% volatility of returns over 90 . By contrast, DOW inherits 0.719% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Morgan Stanley Volatility

Volatility is a rate at which the price of Morgan Stanley 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 Morgan Stanley may increase or decrease. In other words, similar to Morgan's beta indicator, it measures the risk of Morgan Stanley and helps estimate the fluctuations that may happen in a short period of time. So if prices of Morgan Stanley 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.

Morgan Stanley Investment Opportunity

Morgan Stanley India has a volatility of 0.85 and is 1.18 times more volatile than DOW. of all equities and portfolios are less risky than Morgan Stanley. Compared to the overall equity markets, volatility of historical daily returns of Morgan Stanley India is lower than 7 () of all global equities and portfolios over the last 90 days. Use Morgan Stanley India to enhance returns of your portfolios. The mutual fund experiences a moderate upward volatility. Check odds of Morgan Stanley to be traded at $36.34 in 90 days. . Let's try to break down what Morgan's beta means in this case. As returns on the market increase, Morgan Stanley returns are expected to increase less than the market. However, during the bear market, the loss on holding Morgan Stanley will be expected to be smaller as well.

Very weak diversification

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

Morgan Stanley Additional Risk Indicators

The analysis of Morgan Stanley'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 Morgan Stanley's investment and either accepting that risk or mitigating it. Along with some common measures of Morgan Stanley 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 Performance0.1795
Market Risk Adjusted Performance0.3415
Mean Deviation0.6319
Semi Deviation0.3944
Downside Deviation0.7907
Coefficient Of Variation400.81
Standard Deviation0.8361
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.

Morgan Stanley 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 Morgan Stanley 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. Morgan Stanley'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, Morgan Stanley'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 Morgan Stanley India.
Check out Your Current Watchlist. Note that the Morgan Stanley India information on this page should be used as a complementary analysis to other Morgan Stanley'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 Equity Search module to search for activelly traded equities including funds and ETFs from over 30 global markets.

Complementary Tools for Morgan Mutual Fund analysis

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