Macquariefirst Tr Global Volatility
| MFDDelisted Fund | USD 8.45 0.16 1.86% |
At this point, Macquariefirst is not too volatile. Macquariefirst Tr Global has Sharpe Ratio of 0.0466, which conveys that the entity had a 0.0466% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for Macquariefirst, which you can use to evaluate the volatility of the fund. Please verify Macquariefirst's Standard Deviation of 0.8736, risk adjusted performance of 0.0369, and Mean Deviation of 0.5562 to check out if the risk estimate we provide is consistent with the expected return of 0.0407%. Key indicators related to Macquariefirst's volatility include:
90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Macquariefirst 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 Macquariefirst daily returns, and it is calculated using variance and standard deviation. We also use Macquariefirst's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Macquariefirst volatility.
Macquariefirst |
Downward market volatility can be a perfect environment for investors who play the long game with Macquariefirst. They may decide to buy additional shares of Macquariefirst at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Macquariefirst Fund
Moving against Macquariefirst Fund
| 0.63 | PFE | Pfizer Inc Aggressive Push | PairCorr |
| 0.53 | JNJ | Johnson Johnson Fiscal Year End 28th of January 2025 | PairCorr |
| 0.5 | KO | Coca Cola Sell-off Trend | PairCorr |
| 0.42 | BA | Boeing Fiscal Year End 29th of January 2025 | PairCorr |
Macquariefirst Market Sensitivity And Downside Risk
Macquariefirst's beta coefficient measures the volatility of Macquariefirst 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 Macquariefirst fund's returns against your selected market. In other words, Macquariefirst's beta of 0.24 provides an investor with an approximation of how much risk Macquariefirst fund can potentially add to one of your existing portfolios. Macquariefirst Tr Global exhibits very low volatility with skewness of -0.42 and kurtosis of 3.45. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Macquariefirst'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 Macquariefirst'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 Macquariefirst Tr Global Demand TrendCheck current 90 days Macquariefirst correlation with market (Dow Jones Industrial)Macquariefirst Beta |
Macquariefirst 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 | 0.87 |
It is essential to understand the difference between upside risk (as represented by Macquariefirst's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Macquariefirst's daily returns or price. Since the actual investment returns on holding a position in macquariefirst 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 Macquariefirst.
Macquariefirst Tr Global Fund Volatility Analysis
Volatility refers to the frequency at which Macquariefirst delisted fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Macquariefirst's price changes. Investors will then calculate the volatility of Macquariefirst's fund to predict their future moves. A delisted 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 delisted 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 Macquariefirst's volatility:
Historical Volatility
This type of delisted fund volatility measures Macquariefirst's fluctuations based on previous trends. It's commonly used to predict Macquariefirst'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 Macquariefirst's current market price. This means that the delisted fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Macquariefirst's to be redeemed at a future date.Transformation |
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Macquariefirst Projected Return Density Against Market
Considering the 90-day investment horizon Macquariefirst has a beta of 0.2441 . This indicates as returns on the market go up, Macquariefirst average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Macquariefirst Tr Global 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 Macquariefirst 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 Macquariefirst'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 Macquariefirst delisted 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.
Macquariefirst Tr Global has an alpha of 0.0025, implying that it can generate a 0.0025 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Macquariefirst Price Volatility?
Several factors can influence a delisted 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.Macquariefirst Fund Risk Measures
Considering the 90-day investment horizon the coefficient of variation of Macquariefirst is 2147.04. The daily returns are distributed with a variance of 0.76 and standard deviation of 0.87. The mean deviation of Macquariefirst Tr Global is currently at 0.56. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0 | |
β | Beta against Dow Jones | 0.24 | |
σ | Overall volatility | 0.87 | |
Ir | Information ratio | -0.1 |
Macquariefirst Fund Return Volatility
Macquariefirst historical daily return volatility represents how much of Macquariefirst delisted fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund has volatility of 0.8736% on return distribution over 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7777% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Macquariefirst Volatility
Volatility is a rate at which the price of Macquariefirst 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 Macquariefirst may increase or decrease. In other words, similar to Macquariefirst's beta indicator, it measures the risk of Macquariefirst and helps estimate the fluctuations that may happen in a short period of time. So if prices of Macquariefirst 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.MacquarieFirst Trust Global InfrastructureUtilities Dividend Income Fund is a closed-ended equity mutual fund launched and managed by First Trust Advisors L.P. MacquarieFirst Trust Global InfrastructureUtilities Dividend Income Fund was formed on March 25, 2004 and is domiciled in the United States. MacquarieFirst Trust operates under Asset Management classification in the United States and is traded on New York Stock Exchange.
Macquariefirst'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 Macquariefirst Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Macquariefirst's price varies over time.
3 ways to utilize Macquariefirst's volatility to invest better
Higher Macquariefirst's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Macquariefirst Tr Global 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. Macquariefirst Tr Global 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 Macquariefirst Tr Global investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Macquariefirst'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 Macquariefirst's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Macquariefirst Investment Opportunity
Macquariefirst Tr Global has a volatility of 0.87 and is 1.12 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Macquariefirst Tr Global is lower than 7 percent of all global equities and portfolios over the last 90 days. You can use Macquariefirst Tr Global to protect your portfolios against small market fluctuations. The fund experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Macquariefirst to be traded at $8.2 in 90 days.Average diversification
The correlation between Macquariefirst Tr Global and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Macquariefirst Tr Global and DJI in the same portfolio, assuming nothing else is changed.
Macquariefirst Additional Risk Indicators
The analysis of Macquariefirst'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 Macquariefirst's investment and either accepting that risk or mitigating it. Along with some common measures of Macquariefirst 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 | 0.0369 | |||
| Market Risk Adjusted Performance | 0.1357 | |||
| Mean Deviation | 0.5562 | |||
| Coefficient Of Variation | 2147.04 | |||
| Standard Deviation | 0.8736 | |||
| Variance | 0.7631 | |||
| 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 delisted funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Macquariefirst 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 Macquariefirst 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. Macquariefirst'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, Macquariefirst'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 Macquariefirst Tr Global.
Check out Correlation Analysis to better understand how to build diversified portfolios. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in census. You can also try the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
Other Consideration for investing in Macquariefirst Fund
If you are still planning to invest in Macquariefirst Tr Global check if it may still be traded through OTC markets such as Pink Sheets or OTC Bulletin Board. You may also purchase it directly from the company, but this is not always possible and may require contacting the company directly. Please note that delisted stocks are often considered to be more risky investments, as they are no longer subject to the same regulatory and reporting requirements as listed stocks. Therefore, it is essential to carefully research the Macquariefirst's history and understand the potential risks before investing.
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