Cap ISR (Germany) Volatility
| 0P0001338C | EUR 6.04 0.10 1.68% |
Cap ISR Actions secures Sharpe Ratio (or Efficiency) of -0.0444, which signifies that the fund had a -0.0444% return per unit of risk over the last 3 months. Cap ISR Actions exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Cap ISR's Risk Adjusted Performance of (0.04), standard deviation of 0.6292, and Mean Deviation of 0.5025 to double-check the risk estimate we provide. Key indicators related to Cap ISR's volatility include:
60 Days Market Risk | Chance Of Distress | 60 Days Economic Sensitivity |
Cap ISR 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 Cap daily returns, and it is calculated using variance and standard deviation. We also use Cap's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Cap ISR volatility.
Cap |
Downward market volatility can be a perfect environment for investors who play the long game with Cap ISR. They may decide to buy additional shares of Cap ISR at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Cap Fund
| 0.96 | 0P00000PM8 | Renaissance Europe | PairCorr |
| 0.79 | 0P0000MZYR | IE00B0H4TS55 | PairCorr |
Moving against Cap Fund
Cap ISR Market Sensitivity And Downside Risk
Cap ISR's beta coefficient measures the volatility of Cap fund compared to the systematic risk of the entire 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 Cap fund's returns against your selected market. In other words, Cap ISR's beta of -0.0317 provides an investor with an approximation of how much risk Cap ISR fund can potentially add to one of your existing portfolios. Cap ISR Actions exhibits very low volatility with skewness of -0.05 and kurtosis of -0.29. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Cap ISR's fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Cap ISR's fund price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Cap ISR Actions Demand TrendCheck current 90 days Cap ISR correlation with market (Dow Jones Industrial)Cap Beta |
Cap standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity 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 | 0.6 |
It is essential to understand the difference between upside risk (as represented by Cap ISR's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Cap ISR's daily returns or price. Since the actual investment returns on holding a position in cap fund 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 Cap ISR.
Cap ISR Actions Fund Volatility Analysis
Volatility refers to the frequency at which Cap ISR fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Cap ISR's price changes. Investors will then calculate the volatility of Cap ISR's fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A fund with relatively stable price changes has low volatility. A highly volatile fund is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Cap ISR's volatility:
Historical Volatility
This type of fund volatility measures Cap ISR's fluctuations based on previous trends. It's commonly used to predict Cap ISR's future behavior based on its past. However, it cannot conclusively determine the future direction of the fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Cap ISR's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Cap ISR's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Cap ISR Actions 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.
Cap ISR Projected Return Density Against Market
Assuming the 90 days trading horizon Cap ISR Actions has a beta of -0.0317 . This suggests as returns on the benchmark increase, returns on holding Cap ISR are expected to decrease at a much lower rate. During a bear market, however, Cap ISR Actions 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 Cap ISR or Natixis Investment Managers International 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 Cap ISR's price will be affected by overall fund 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 Cap fund'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.
Cap ISR Actions has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives a Cap ISR Price Volatility?
Several factors can influence a fund's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Cap ISR Fund Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Cap ISR is -2250.79. The daily returns are distributed with a variance of 0.35 and standard deviation of 0.6. The mean deviation of Cap ISR Actions is currently at 0.48. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | -0.04 | |
β | Beta against Dow Jones | -0.03 | |
σ | Overall volatility | 0.60 | |
Ir | Information ratio | -0.1 |
Cap ISR Fund Return Volatility
Cap ISR historical daily return volatility represents how much of Cap ISR fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund accepts 0.5954% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.8045% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Cap ISR Volatility
Volatility is a rate at which the price of Cap ISR 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 Cap ISR may increase or decrease. In other words, similar to Cap's beta indicator, it measures the risk of Cap ISR and helps estimate the fluctuations that may happen in a short period of time. So if prices of Cap ISR 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.3 ways to utilize Cap ISR's volatility to invest better
Higher Cap ISR's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Cap ISR Actions fund is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Cap ISR Actions fund volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Cap ISR Actions investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Cap ISR's fund can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Cap ISR's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Cap ISR Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.8 and is 1.33 times more volatile than Cap ISR Actions. 5 percent of all equities and portfolios are less risky than Cap ISR. You can use Cap ISR Actions to enhance the returns of your portfolios. The fund experiences a large bullish trend. Check odds of Cap ISR to be traded at €6.64 in 90 days.Good diversification
The correlation between Cap ISR Actions and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Cap ISR Actions and DJI in the same portfolio, assuming nothing else is changed.
Cap ISR Additional Risk Indicators
The analysis of Cap ISR'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 Cap ISR's investment and either accepting that risk or mitigating it. Along with some common measures of Cap ISR fund's 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 | (0.04) | |||
| Market Risk Adjusted Performance | 1.2 | |||
| Mean Deviation | 0.5025 | |||
| Coefficient Of Variation | (2,259) | |||
| Standard Deviation | 0.6292 | |||
| Variance | 0.3959 | |||
| Information Ratio | (0.1) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Cap ISR 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.
| Visa vs. Cap ISR | ||
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| Citigroup vs. Cap ISR | ||
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| Nasdaq vs. Cap ISR | ||
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 Cap ISR 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. Cap ISR'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, Cap ISR'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 Cap ISR Actions.
Other Information on Investing in Cap Fund
Cap ISR financial ratios help investors to determine whether Cap Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Cap with respect to the benefits of owning Cap ISR security.
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