Japan Smaller Capitalization Fund Volatility
| JOF Fund | USD 7.67 0.07 0.92% |
Japan Smaller Capita holds Efficiency (Sharpe) Ratio of -0.0636, which attests that the entity had a -0.0636% return per unit of risk over the last 3 months. Japan Smaller Capita exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Japan Smaller's Risk Adjusted Performance of (0.05), market risk adjusted performance of (0.17), and Standard Deviation of 0.884 to validate the risk estimate we provide. Key indicators related to Japan Smaller's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Japan Smaller 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 Japan daily returns, and it is calculated using variance and standard deviation. We also use Japan's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Japan Smaller volatility.
Japan |
Downward market volatility can be a perfect environment for investors who play the long game with Japan Smaller. They may decide to buy additional shares of Japan Smaller at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Japan Fund
Moving against Japan Fund
| 0.83 | XGEIX | Guggenheim Energy Income | PairCorr |
| 0.68 | TLCYX | Touchstone Large Cap | PairCorr |
| 0.66 | FCWRX | Templeton China World | PairCorr |
| 0.59 | SAGAX | Ridgeworth Innovative | PairCorr |
| 0.58 | MLMAX | Global E Portfolio | PairCorr |
| 0.57 | AMEIX | Equity Growth | PairCorr |
| 0.55 | VFIAX | Vanguard 500 Index | PairCorr |
| 0.53 | SPGSX | State Street Premier | PairCorr |
| 0.52 | VSEQX | Vanguard Strategic Equity | PairCorr |
Japan Smaller Market Sensitivity And Downside Risk
Japan Smaller's beta coefficient measures the volatility of Japan 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 Japan fund's returns against your selected market. In other words, Japan Smaller's beta of 0.41 provides an investor with an approximation of how much risk Japan Smaller fund can potentially add to one of your existing portfolios. Japan Smaller Capitalization exhibits very low volatility with skewness of 0.41 and kurtosis of 0.1. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Japan Smaller'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 Japan Smaller'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 Japan Smaller Capita Demand TrendCheck current 90 days Japan Smaller correlation with market (Dow Jones Industrial)Japan Beta |
Japan 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 | 0.9 |
It is essential to understand the difference between upside risk (as represented by Japan Smaller's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Japan Smaller's daily returns or price. Since the actual investment returns on holding a position in japan 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 Japan Smaller.
Japan Smaller Capita Fund Volatility Analysis
Volatility refers to the frequency at which Japan Smaller fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Japan Smaller's price changes. Investors will then calculate the volatility of Japan Smaller'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 Japan Smaller's volatility:
Historical Volatility
This type of fund volatility measures Japan Smaller's fluctuations based on previous trends. It's commonly used to predict Japan Smaller'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 Japan Smaller'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 Japan Smaller'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. Japan Smaller Capita 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.
Japan Smaller Projected Return Density Against Market
Considering the 90-day investment horizon Japan Smaller has a beta of 0.4095 . This indicates as returns on the market go up, Japan Smaller average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Japan Smaller Capitalization 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 Japan Smaller or Financial Services 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 Japan Smaller'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 Japan 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.
Japan Smaller Capitalization 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 Japan Smaller 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.Japan Smaller Fund Risk Measures
Considering the 90-day investment horizon the coefficient of variation of Japan Smaller is -1571.52. The daily returns are distributed with a variance of 0.8 and standard deviation of 0.89. The mean deviation of Japan Smaller Capitalization is currently at 0.69. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | -0.12 | |
β | Beta against Dow Jones | 0.41 | |
σ | Overall volatility | 0.90 | |
Ir | Information ratio | -0.21 |
Japan Smaller Fund Return Volatility
Japan Smaller historical daily return volatility represents how much of Japan Smaller fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The mutual fund has volatility of 0.895% on return distribution over 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7496% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Japan Smaller Volatility
Volatility is a rate at which the price of Japan Smaller 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 Japan Smaller may increase or decrease. In other words, similar to Japan's beta indicator, it measures the risk of Japan Smaller and helps estimate the fluctuations that may happen in a short period of time. So if prices of Japan Smaller 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.Japan Smaller Capitalization Fund, Inc. is a closed-ended equity mutual fund launched by Nomura Asset Management U.S.A. Inc. It is managed by Nomura Asset Management Co., Ltd. The fund invests in the public equity markets of Japan. It invests in stocks traded on the Tokyo, Osaka and Nagoya Stock Exchanges, JASDAQ, Mothers, Hercules, Centrex, and other indices. The fund seeks to invest in stocks of companies operating across diversified sectors. It primarily invests in stocks of small cap companies. The fund benchmarks the performance of its portfolio against the The RussellNomura Small Cap Index. It was formerly known as Japan OTC Equity Fund, Inc. Japan Smaller Capitalization Fund, Inc. was formed on March 22, 1990 and is domiciled in the United States.
Japan Smaller'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 Japan Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Japan Smaller's price varies over time.
3 ways to utilize Japan Smaller's volatility to invest better
Higher Japan Smaller's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Japan Smaller Capita 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. Japan Smaller Capita 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 Japan Smaller Capita investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Japan Smaller'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 Japan Smaller's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Japan Smaller Investment Opportunity
Japan Smaller Capitalization has a volatility of 0.9 and is 1.2 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Japan Smaller Capitalization is lower than 7 percent of all global equities and portfolios over the last 90 days. You can use Japan Smaller Capitalization to enhance the returns of your portfolios. The fund experiences a moderate upward volatility. Check odds of Japan Smaller to be traded at $8.44 in 90 days.Weak diversification
The correlation between Japan Smaller Capitalization and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Japan Smaller Capitalization and DJI in the same portfolio, assuming nothing else is changed.
Japan Smaller Additional Risk Indicators
The analysis of Japan Smaller'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 Japan Smaller's investment and either accepting that risk or mitigating it. Along with some common measures of Japan Smaller 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 | (0.05) | |||
| Market Risk Adjusted Performance | (0.17) | |||
| Mean Deviation | 0.6855 | |||
| Coefficient Of Variation | (1,387) | |||
| Standard Deviation | 0.884 | |||
| Variance | 0.7815 | |||
| Information Ratio | (0.21) |
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.
Japan Smaller 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.
| Alphabet vs. Japan Smaller | ||
| GM vs. Japan Smaller | ||
| Visa vs. Japan Smaller | ||
| Dupont De vs. Japan Smaller | ||
| Microsoft vs. Japan Smaller | ||
| Salesforce vs. Japan Smaller | ||
| Citigroup vs. Japan Smaller | ||
| Ford vs. Japan Smaller |
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 Japan Smaller 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. Japan Smaller'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, Japan Smaller'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 Japan Smaller Capitalization.
Other Information on Investing in Japan Fund
Japan Smaller financial ratios help investors to determine whether Japan 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 Japan with respect to the benefits of owning Japan Smaller security.
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