Nei Clean Infrastructure Fund Volatility
| 0P000071KM | CAD 11.65 0.00 0.00% |
At this point, NEI Clean is very steady. NEI Clean Infrastructure has Sharpe Ratio of 0.26, which conveys that the entity had a 0.26 % return per unit of volatility over the last 3 months. We have found seventeen technical indicators for NEI Clean, which you can use to evaluate the volatility of the fund. Please verify NEI Clean's mean deviation of 0.0105, and Risk Adjusted Performance of (0.14) to check out if the risk estimate we provide is consistent with the expected return of 0.0056%.
Sharpe Ratio = 0.2627
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| 0P000071KM |
Based on monthly moving average NEI Clean is performing at about 20% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of NEI Clean by adding it to a well-diversified portfolio.
Key indicators related to NEI Clean's volatility include:30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
NEI Clean 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 NEI daily returns, and it is calculated using variance and standard deviation. We also use NEI's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of NEI Clean volatility.
NEI |
Downward market volatility can be a perfect environment for investors who play the long game with NEI Clean. They may decide to buy additional shares of NEI Clean at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with NEI Fund
| 0.93 | 0P00007060 | RBC Canadian Money | PairCorr |
| 0.68 | 0P000071QO | CI Money Market | PairCorr |
| 0.91 | 0P00007148 | Mawer Canadian Money | PairCorr |
| 0.91 | 0P000071C3 | Dynamique march montaire | PairCorr |
NEI Clean Market Sensitivity And Downside Risk
NEI Clean's beta coefficient measures the volatility of NEI 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 NEI fund's returns against your selected market. In other words, NEI Clean's beta of -0.0091 provides an investor with an approximation of how much risk NEI Clean fund can potentially add to one of your existing portfolios. NEI Clean Infrastructure exhibits very low volatility with skewness of 3.6 and kurtosis of 11.32. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure NEI Clean'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 NEI Clean'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 NEI Clean Infrastructure Demand TrendCheck current 90 days NEI Clean correlation with market (Dow Jones Industrial)NEI Clean Volatility and Downside Risk
NEI 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.
NEI Clean Infrastructure Fund Volatility Analysis
Volatility refers to the frequency at which NEI Clean fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with NEI Clean's price changes. Investors will then calculate the volatility of NEI Clean'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 NEI Clean's volatility:
Historical Volatility
This type of fund volatility measures NEI Clean's fluctuations based on previous trends. It's commonly used to predict NEI Clean'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 NEI Clean'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 NEI Clean'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. NEI Clean Infrastructure 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.
NEI Clean Projected Return Density Against Market
Assuming the 90 days trading horizon NEI Clean Infrastructure has a beta of -0.0091 . This suggests as returns on the benchmark increase, returns on holding NEI Clean are expected to decrease at a much lower rate. During a bear market, however, NEI Clean Infrastructure 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 NEI Clean or CI Investments Inc 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 NEI Clean'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 NEI 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.
NEI Clean Infrastructure 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 |
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What Drives a NEI Clean 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.NEI Clean Fund Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of NEI Clean is 380.62. The daily returns are distributed with a variance of 0.0 and standard deviation of 0.02. The mean deviation of NEI Clean Infrastructure is currently at 0.01. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α | Alpha over Dow Jones | -0.0036 | |
β | Beta against Dow Jones | -0.0091 | |
σ | Overall volatility | 0.02 | |
Ir | Information ratio | -4.13 |
NEI Clean Fund Return Volatility
NEI Clean historical daily return volatility represents how much of NEI Clean fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund accepts 0.0215% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.6973% volatility on return distribution over the 90 days horizon. Performance |
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Related Correlations Analysis
| -0.83 | -0.7 | 0.69 | 0.46 | 0.39 | -0.73 | -0.13 | -0.01 | 0P000071KM | ||
| -0.83 | 0.61 | -0.7 | -0.26 | -0.15 | 0.65 | 0.18 | 0.03 | 0P0001OF6V | ||
| -0.7 | 0.61 | -0.76 | -0.23 | -0.18 | 0.55 | -0.36 | 0.06 | FTHI | ||
| 0.69 | -0.7 | -0.76 | 0.42 | 0.34 | -0.38 | 0.2 | 0.17 | GLDE | ||
| 0.46 | -0.26 | -0.23 | 0.42 | 0.73 | 0.02 | -0.17 | 0.51 | 0P00007694 | ||
| 0.39 | -0.15 | -0.18 | 0.34 | 0.73 | 0.11 | 0.0 | 0.61 | 0P000070OO | ||
| -0.73 | 0.65 | 0.55 | -0.38 | 0.02 | 0.11 | -0.04 | 0.65 | 0P0001N8MZ | ||
| -0.13 | 0.18 | -0.36 | 0.2 | -0.17 | 0.0 | -0.04 | 0.03 | 0P000075GQ | ||
| -0.01 | 0.03 | 0.06 | 0.17 | 0.51 | 0.61 | 0.65 | 0.03 | 0P0000820A | ||
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
There is a big difference between NEI Fund performing well and NEI Clean Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze NEI Clean's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| 0P000071KM | 0.01 | 0.00 | 0.00 | 0.48 | 0.00 | 0.09 | 0.09 | |||
| 0P0001OF6V | 0.48 | (0.09) | 0.00 | (0.87) | 0.00 | 0.91 | 3.12 | |||
| FTHI | 0.56 | (0.10) | 0.00 | (0.36) | 0.00 | 1.23 | 6.80 | |||
| GLDE | 2.02 | 0.22 | 0.07 | 0.38 | 2.73 | 3.87 | 13.95 | |||
| 0P00007694 | 0.54 | 0.06 | (0.02) | 0.54 | 0.51 | 1.15 | 2.45 | |||
| 0P000070OO | 0.31 | 0.01 | (0.12) | 0.12 | 0.30 | 0.66 | 1.57 | |||
| 0P0001N8MZ | 0.47 | (0.06) | 0.00 | (0.16) | 0.00 | 1.12 | 2.62 | |||
| 0P000075GQ | 0.03 | 0.00 | 0.00 | (0.74) | 0.00 | 0.11 | 0.33 | |||
| 0P0000820A | 0.67 | (0.03) | (0.05) | 0.04 | 1.13 | 1.05 | 4.83 |
About NEI Clean Volatility
Volatility is a rate at which the price of NEI Clean 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 NEI Clean may increase or decrease. In other words, similar to NEI's beta indicator, it measures the risk of NEI Clean and helps estimate the fluctuations that may happen in a short period of time. So if prices of NEI Clean 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 NEI Clean's volatility to invest better
Higher NEI Clean's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of NEI Clean Infrastructure 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. NEI Clean Infrastructure 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 NEI Clean Infrastructure investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in NEI Clean'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 NEI Clean's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
NEI Clean Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.7 and is 35.0 times more volatile than NEI Clean Infrastructure. 0 percent of all equities and portfolios are less risky than NEI Clean. You can use NEI Clean Infrastructure to protect your portfolios against small market fluctuations. The fund experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of NEI Clean to be traded at C$11.53 in 90 days.Very good diversification
The correlation between NEI Clean Infrastructure and DJI is -0.23 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding NEI Clean Infrastructure and DJI in the same portfolio, assuming nothing else is changed.
NEI Clean Additional Risk Indicators
The analysis of NEI Clean'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 NEI Clean's investment and either accepting that risk or mitigating it. Along with some common measures of NEI Clean 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 | (0.14) | |||
| Market Risk Adjusted Performance | 0.489 | |||
| Mean Deviation | 0.0105 | |||
| Coefficient Of Variation | 380.62 | |||
| Standard Deviation | 0.0215 | |||
| Variance | 5.0E-4 | |||
| Information Ratio | (4.13) |
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.
NEI Clean 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.
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| Citigroup vs. NEI Clean | ||
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 NEI Clean 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. NEI Clean'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, NEI Clean'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 NEI Clean Infrastructure.
Other Information on Investing in NEI Fund
NEI Clean financial ratios help investors to determine whether NEI 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 NEI with respect to the benefits of owning NEI Clean security.
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