CM AM (Germany) Volatility
| 0P0001F96C | 106.63 0.01 0.01% |
At this point, CM AM is very steady. CM AM Monplus retains Efficiency (Sharpe Ratio) of 1.41, which signifies that the fund had a 1.41 % return per unit of price deviation over the last 3 months. We have found twenty technical indicators for CM AM, which you can use to evaluate the volatility of the entity. Please confirm CM AM's Market Risk Adjusted Performance of (0.88), variance of 1.0E-4, and Information Ratio of (9.30) to double-check if the risk estimate we provide is consistent with the expected return of 0.0128%.
0P0001F96C |
CM AM 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 0P0001F96C daily returns, and it is calculated using variance and standard deviation. We also use 0P0001F96C's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of CM AM volatility.
Downward market volatility can be a perfect environment for investors who play the long game with CM AM. They may decide to buy additional shares of CM AM at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with 0P0001F96C Fund
| 1.0 | 0P00001S8S | Groupama Entreprises | PairCorr |
| 0.8 | E908 | Lyxor 1 | PairCorr |
| 0.84 | DBPE | Xtrackers LevDAX | PairCorr |
Moving against 0P0001F96C Fund
CM AM Market Sensitivity And Downside Risk
CM AM's beta coefficient measures the volatility of 0P0001F96C 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 0P0001F96C fund's returns against your selected market. In other words, CM AM's beta of -0.0035 provides an investor with an approximation of how much risk CM AM fund can potentially add to one of your existing portfolios. CM AM Monplus NE exhibits very low volatility with skewness of 1.48 and kurtosis of 2.15. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure CM AM'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 CM AM'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 CM AM Monplus Demand TrendCheck current 90 days CM AM correlation with market (Dow Jones Industrial)0P0001F96C Beta |
0P0001F96C 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 | 0.009 |
It is essential to understand the difference between upside risk (as represented by CM AM's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of CM AM's daily returns or price. Since the actual investment returns on holding a position in 0p0001f96c 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 CM AM.
CM AM Monplus Fund Volatility Analysis
Volatility refers to the frequency at which CM AM fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with CM AM's price changes. Investors will then calculate the volatility of CM AM'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 CM AM's volatility:
Historical Volatility
This type of fund volatility measures CM AM's fluctuations based on previous trends. It's commonly used to predict CM AM'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 CM AM'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 CM AM'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. CM AM Monplus 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.
CM AM Projected Return Density Against Market
Assuming the 90 days trading horizon CM AM Monplus NE has a beta of -0.0035 . This suggests as returns on the benchmark increase, returns on holding CM AM are expected to decrease at a much lower rate. During a bear market, however, CM AM Monplus NE 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 CM AM or Commodities Funds 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 CM AM'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 0P0001F96C 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.
CM AM Monplus NE has an alpha of 0.0034, implying that it can generate a 0.0034 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a CM AM 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.CM AM Fund Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of CM AM is 70.92. The daily returns are distributed with a variance of 0.0 and standard deviation of 0.01. The mean deviation of CM AM Monplus NE is currently at 0.01. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.84
α | Alpha over Dow Jones | 0 | |
β | Beta against Dow Jones | -0.0035 | |
σ | Overall volatility | 0.01 | |
Ir | Information ratio | -9.3 |
CM AM Fund Return Volatility
CM AM historical daily return volatility represents how much of CM AM fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The mutual fund accepts 0.009% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.8521% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
CM AM Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.85 and is 85.0 times more volatile than CM AM Monplus NE. Compared to the overall equity markets, volatility of historical daily returns of CM AM Monplus NE is lower than 0 percent of all global equities and portfolios over the last 90 days. You can use CM AM Monplus NE to enhance the returns of your portfolios. The fund experiences a normal upward fluctuation. Check odds of CM AM to be traded at 111.96 in 90 days.Very good diversification
The correlation between CM AM Monplus NE and DJI is -0.32 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CM AM Monplus NE and DJI in the same portfolio, assuming nothing else is changed.
CM AM Additional Risk Indicators
The analysis of CM AM'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 CM AM's investment and either accepting that risk or mitigating it. Along with some common measures of CM AM 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 | 0.2902 | |||
| Market Risk Adjusted Performance | (0.88) | |||
| Mean Deviation | 0.007 | |||
| Coefficient Of Variation | 71.07 | |||
| Standard Deviation | 0.0093 | |||
| Variance | 1.0E-4 | |||
| Information Ratio | (9.30) |
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.
CM AM 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. CM AM | ||
| Salesforce vs. CM AM | ||
| GM vs. CM AM | ||
| Bank of America vs. CM AM | ||
| Walker Dunlop vs. CM AM | ||
| Ford vs. CM AM | ||
| Visa vs. CM AM | ||
| Dupont De vs. CM AM | ||
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 CM AM 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. CM AM'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, CM AM'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 CM AM Monplus NE.
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Correlation Analysis Reduce portfolio risk simply by holding instruments which are not perfectly correlated | |
| Stock Tickers Use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites |