Brandes Small Cap Fund Volatility

BSCRX Fund  USD 16.97  0.07  0.41%   
Brandes Small appears to be very steady, given 3 months investment horizon. Brandes Small Cap secures Sharpe Ratio (or Efficiency) of 0.23, which signifies that the fund had a 0.23% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Brandes Small Cap, which you can use to evaluate the volatility of the entity. Please makes use of Brandes Small's mean deviation of 0.8486, and Risk Adjusted Performance of 0.1157 to double-check if our risk estimates are consistent with your expectations. Key indicators related to Brandes Small's volatility include:
30 Days Market Risk
Chance Of Distress
30 Days Economic Sensitivity
Brandes Small 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 Brandes daily returns, and it is calculated using variance and standard deviation. We also use Brandes's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Brandes Small volatility.
  
Downward market volatility can be a perfect environment for investors who play the long game with Brandes Small. They may decide to buy additional shares of Brandes Small at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.

Moving together with Brandes Mutual Fund

  0.97BSCMX Brandes Small CapPairCorr
  1.0BSCAX Brandes Small CapPairCorr

Moving against Brandes Mutual Fund

  0.78BIECX Brandes InternationalPairCorr
  0.77BIERX Brandes InternationalPairCorr
  0.77BIEAX Brandes InternationalPairCorr
  0.76BIIEX Brandes InternationalPairCorr
  0.6BCPAX Brandes E PlusPairCorr
  0.59BCPRX Brandes E PlusPairCorr
  0.58BCPIX Brandes E PlusPairCorr
  0.5SMARX Brandes SeparatelyPairCorr

Brandes Small Market Sensitivity And Downside Risk

Brandes Small's beta coefficient measures the volatility of Brandes mutual 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 Brandes mutual fund's returns against your selected market. In other words, Brandes Small's beta of 0.19 provides an investor with an approximation of how much risk Brandes Small mutual fund can potentially add to one of your existing portfolios. Brandes Small Cap has low volatility with Treynor Ratio of 0.89, Maximum Drawdown of 5.61 and kurtosis of 2.3. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Brandes Small's mutual fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Brandes Small's mutual 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 Brandes Small Cap Demand Trend
Check current 90 days Brandes Small correlation with market (Dow Jones Industrial)

Brandes Beta

    
  0.19  
Brandes 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

    
  1.1  
It is essential to understand the difference between upside risk (as represented by Brandes Small's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Brandes Small's daily returns or price. Since the actual investment returns on holding a position in brandes mutual 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 Brandes Small.

Brandes Small Cap Mutual Fund Volatility Analysis

Volatility refers to the frequency at which Brandes Small fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Brandes Small's price changes. Investors will then calculate the volatility of Brandes Small's mutual fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A mutual 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 Brandes Small's volatility:

Historical Volatility

This type of fund volatility measures Brandes Small's fluctuations based on previous trends. It's commonly used to predict Brandes Small's future behavior based on its past. However, it cannot conclusively determine the future direction of the mutual fund.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Brandes Small'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 Brandes Small'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. Brandes Small Cap 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.

Brandes Small Projected Return Density Against Market

Assuming the 90 days horizon Brandes Small has a beta of 0.1854 suggesting as returns on the market go up, Brandes Small average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Brandes Small Cap 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 Brandes Small or Brandes 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 Brandes Small's price will be affected by overall mutual 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 Brandes 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.
Brandes Small Cap has an alpha of 0.1392, implying that it can generate a 0.14 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Brandes Small's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how brandes mutual fund's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Brandes Small 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.

Brandes Small Mutual Fund Risk Measures

Assuming the 90 days horizon the coefficient of variation of Brandes Small is 430.39. The daily returns are distributed with a variance of 1.21 and standard deviation of 1.1. The mean deviation of Brandes Small Cap is currently at 0.82. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α
Alpha over Dow Jones
0.14
β
Beta against Dow Jones0.19
σ
Overall volatility
1.10
Ir
Information ratio 0.02

Brandes Small Mutual Fund Return Volatility

Brandes Small historical daily return volatility represents how much of Brandes Small fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 1.1013% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.7309% volatility on return distribution over the 90 days horizon.
 Performance 
       Timeline  

About Brandes Small Volatility

Volatility is a rate at which the price of Brandes Small 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 Brandes Small may increase or decrease. In other words, similar to Brandes's beta indicator, it measures the risk of Brandes Small and helps estimate the fluctuations that may happen in a short period of time. So if prices of Brandes Small 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 fund invests primarily in equity securities of U.S. companies with small market capitalizations . Equity securities include common and preferred stocks, warrants and rights. Under normal market conditions, the fund will invest at least 80 percent of its net assets measured at the time of purchase in securities of companies with small market capitalizations.
Brandes Small's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Brandes Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Brandes Small's price varies over time.

3 ways to utilize Brandes Small's volatility to invest better

Higher Brandes Small's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Brandes Small Cap 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. Brandes Small Cap 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 Brandes Small Cap investment. A higher volatility means higher risk and potentially larger changes in value.
  • Identifying Opportunities: High volatility in Brandes Small'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 Brandes Small's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Remember it's essential to remember that stock volatility is just one of many factors to consider when making investment decisions, and it should be used in conjunction with other fundamental and technical analysis tools.

Brandes Small Investment Opportunity

Brandes Small Cap has a volatility of 1.1 and is 1.51 times more volatile than Dow Jones Industrial. 9 percent of all equities and portfolios are less risky than Brandes Small. You can use Brandes Small Cap to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend and little activity. Check odds of Brandes Small to be traded at $16.8 in 90 days.

Average diversification

The correlation between Brandes Small Cap and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brandes Small Cap and DJI in the same portfolio, assuming nothing else is changed.

Brandes Small Additional Risk Indicators

The analysis of Brandes Small'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 Brandes Small's investment and either accepting that risk or mitigating it. Along with some common measures of Brandes Small mutual 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.
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential mutual funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Brandes Small 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.
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 Brandes Small 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. Brandes Small'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, Brandes Small'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 Brandes Small Cap.

Other Information on Investing in Brandes Mutual Fund

Brandes Small financial ratios help investors to determine whether Brandes Mutual 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 Brandes with respect to the benefits of owning Brandes Small security.
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