NewFunds Shariah (South Africa) Volatility
| STXSHA Etf | 356.00 4.00 1.11% |
NewFunds Shariah Top has Sharpe Ratio of -0.028, which conveys that the entity had a -0.028% return per unit of risk over the last 3 months. NewFunds Shariah exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify NewFunds Shariah's Mean Deviation of 0.9024, downside deviation of 1.42, and Risk Adjusted Performance of 0.0159 to check out the risk estimate we provide.
NewFunds |
NewFunds Shariah Etf 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 NewFunds daily returns, and it is calculated using variance and standard deviation. We also use NewFunds's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of NewFunds Shariah volatility.
Downward market volatility can be a perfect environment for investors who play the long game with NewFunds Shariah. They may decide to buy additional shares of NewFunds Shariah at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
NewFunds Shariah Market Sensitivity And Downside Risk
NewFunds Shariah's beta coefficient measures the volatility of NewFunds etf 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 NewFunds etf's returns against your selected market. In other words, NewFunds Shariah's beta of 0.0528 provides an investor with an approximation of how much risk NewFunds Shariah etf can potentially add to one of your existing portfolios. NewFunds Shariah Top has relatively low volatility with skewness of -0.45 and kurtosis of -0.02. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure NewFunds Shariah's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact NewFunds Shariah's etf 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 NewFunds Shariah Top Demand TrendCheck current 90 days NewFunds Shariah correlation with market (Dow Jones Industrial)NewFunds Beta |
NewFunds 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 | 1.16 |
It is essential to understand the difference between upside risk (as represented by NewFunds Shariah's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of NewFunds Shariah's daily returns or price. Since the actual investment returns on holding a position in newfunds etf 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 NewFunds Shariah.
NewFunds Shariah Top Etf Volatility Analysis
Volatility refers to the frequency at which NewFunds Shariah etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with NewFunds Shariah's price changes. Investors will then calculate the volatility of NewFunds Shariah's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf 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 NewFunds Shariah's volatility:
Historical Volatility
This type of etf volatility measures NewFunds Shariah's fluctuations based on previous trends. It's commonly used to predict NewFunds Shariah's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for NewFunds Shariah's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on NewFunds Shariah'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. NewFunds Shariah Top 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.
NewFunds Shariah Projected Return Density Against Market
Assuming the 90 days trading horizon NewFunds Shariah has a beta of 0.0528 . This usually implies as returns on the market go up, NewFunds Shariah average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding NewFunds Shariah Top 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 NewFunds Shariah or NewFunds 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 NewFunds Shariah's price will be affected by overall etf 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 NewFunds etf'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.
NewFunds Shariah Top has an alpha of 0.0048, implying that it can generate a 0.0048 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a NewFunds Shariah Price Volatility?
Several factors can influence a etf'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.NewFunds Shariah Etf Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of NewFunds Shariah is -3566.7. The daily returns are distributed with a variance of 1.34 and standard deviation of 1.16. The mean deviation of NewFunds Shariah Top is currently at 0.88. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.73
α | Alpha over Dow Jones | 0 | |
β | Beta against Dow Jones | 0.05 | |
σ | Overall volatility | 1.16 | |
Ir | Information ratio | -0.07 |
NewFunds Shariah Etf Return Volatility
NewFunds Shariah historical daily return volatility represents how much of NewFunds Shariah etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF accepts 1.1558% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7253% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
NewFunds Shariah Investment Opportunity
NewFunds Shariah Top has a volatility of 1.16 and is 1.59 times more volatile than Dow Jones Industrial. 10 percent of all equities and portfolios are less risky than NewFunds Shariah. You can use NewFunds Shariah Top to protect your portfolios against small market fluctuations. The etf experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of NewFunds Shariah to be traded at 345.32 in 90 days.Significant diversification
The correlation between NewFunds Shariah Top and DJI is 0.03 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding NewFunds Shariah Top and DJI in the same portfolio, assuming nothing else is changed.
NewFunds Shariah Additional Risk Indicators
The analysis of NewFunds Shariah'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 NewFunds Shariah's investment and either accepting that risk or mitigating it. Along with some common measures of NewFunds Shariah etf'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 | 0.0159 | |||
| Market Risk Adjusted Performance | 0.1908 | |||
| Mean Deviation | 0.9024 | |||
| Semi Deviation | 1.21 | |||
| Downside Deviation | 1.42 | |||
| Coefficient Of Variation | 5968.26 | |||
| Standard Deviation | 1.17 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
NewFunds Shariah 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 NewFunds Shariah 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. NewFunds Shariah'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, NewFunds Shariah'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 NewFunds Shariah Top.