Brandes Emerging Markets Fund Volatility
| BEMIX Fund | USD 14.76 -0.06 -0.40% |
Sharpe Ratio = 0.0899
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Brandes Emerging Markets's financial profile includes a Market Risk Adjusted Performance of 0.2%, a Risk of 1.48, and a Risk Adjusted Performance of 0.1%. The fund reflects approximately 7% of its established trend range based on monthly averages.
Key indicators related to BRANDES EMERGING's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for BRANDES EMERGING (3 Months):
Beta 1.13 | Alpha 0.16 | Risk 1.48 | Sharpe Ratio 0.09 | Expected Return 0.13 |
Assets With Similar Volatility
| 0.97 | VEMAX | Vanguard Emerging Markets | PairCorr |
| 0.97 | VEIEX | Vanguard Emerging Markets | PairCorr |
| 0.97 | VEMIX | Vanguard Emerging Markets | PairCorr |
| 0.97 | VEMRX | Vanguard Emerging Markets | PairCorr |
| 0.97 | NEWFX | New World Fund | PairCorr |
| 0.97 | NWFFX | New World Fund | PairCorr |
| 0.97 | NEWCX | New World Fund | PairCorr |
| 0.97 | FWWNX | American Funds New | PairCorr |
| 0.97 | FNFWX | American Funds New | PairCorr |
| 0.98 | FGOMX | Strategic Advisers Fidelity | PairCorr |
| 0.92 | VFIAX | Vanguard 500 Index | PairCorr |
| 0.92 | VTSAX | Vanguard Total Stock | PairCorr |
| 0.92 | VTSMX | Vanguard Total Stock | PairCorr |
| 0.92 | VSTSX | Vanguard Total Stock | PairCorr |
| 0.92 | VITSX | Vanguard Total Stock | PairCorr |
| 0.92 | VSMPX | Vanguard Total Stock | PairCorr |
| 0.96 | VTIAX | Vanguard Total International | PairCorr |
| 0.92 | VFINX | Vanguard 500 Index | PairCorr |
| 0.92 | VFFSX | Vanguard 500 Index | PairCorr |
| 0.72 | JPM | JPMorgan Chase Co | PairCorr |
| 0.7 | DIS | Walt Disney | PairCorr |
Sensitivity To Market
BRANDES EMERGING beta coefficient measures the volatility of BRANDES EMERGING mutual fund relative to the systematic risk of the broad market benchmark. A beta of 1.13 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 1.48%. Brandes Emerging Markets has shown noticeable price swings over the selected period. Downside deviation is about 1.56% and standard deviation is about 1.49%, which summarize how widely returns have moved. Fund volatility is generally driven by asset allocation rather than individual headline events. Portfolio turnover and allocation changes alter measured dispersion over time.
3 Months Beta |Brandes Emerging Markets Demand TrendCurrent 90-day BRANDES EMERGING correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far BRANDES EMERGING returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability. Peer-relative standard deviation places BRANDES EMERGING on a common scale for cross-instrument volatility ranking. This dispersion metric remains a common starting point for assessing BRANDES EMERGING price volatility.
Standard Deviation | 1.48 |
For BRANDES EMERGING, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of BRANDES EMERGING's returns. Total price dispersion for BRANDES EMERGING includes upside moves that do not represent loss risk. Using both metrics together provides a more complete view of BRANDES EMERGING's risk characteristics. Brandes Emerging Markets's financial profile includes a Downside Deviation of 1.56, a Downside Variance of 2.44, and a Maximum Drawdown of 7.11.
Mutual Fund Volatility Analysis
Volatility describes the degree to which BRANDES EMERGING mutual fund price fluctuates in either direction. It captures how much BRANDES EMERGING's price fluctuates, which is relevant to allocation calibration. Volatility in BRANDES EMERGING reflects the degree of uncertainty around BRANDES EMERGING's mutual fund price. Periods of elevated volatility in BRANDES EMERGING reward disciplined traders while exposing long-term holders to drawdowns.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Brandes Emerging Markets's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Based on a 90-day horizon, BRANDES EMERGING has a beta of 1.1337 suggesting Brandes Emerging Markets market returns are sensitive to returns on the market. As the market goes up or down, BRANDES EMERGING tends to follow.Systematic risk links BRANDES EMERGING to broad mutual fund market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. Brandes Emerging Markets's financial profile includes a Downside Deviation of 1.56, a Mean Deviation of 1.01, and a Semi Deviation of 1.35.
Predicted Return Distribution |
| Density |
Mutual Fund Risk Measures
Based on a 90-day horizon, the coefficient of variation of BRANDES EMERGING is 1112.66. The daily returns are distributed with a variance of 2.19 and standard deviation of 1.48. The mean deviation of Brandes Emerging Markets is currently at 0.98. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.16 | |
β | Beta against Dow Jones | 1.13 | |
σ | Overall volatility | 1.48 | |
Ir | Information ratio | 0.11 |
Mutual Fund Return Volatility
BRANDES EMERGING historical daily return volatility represents how much of BRANDES EMERGING fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 1.4801% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9164% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Risk-Adjusted Indicators
Strong recent returns in BRANDES EMERGING Mutual Fund do not always mean BRANDES EMERGING Mutual Fund is outperforming peers on business quality. Without risk-adjusted context, short-term returns may appear stronger than the volatility required to achieve them would suggest. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| COVAX | 0.86 | 0.09 | 0.09 | -0.70 | 1.00 | 2.17 | 4.53 | |||
| FILRX | 1.12 | -0.03 | 0.00 | -0.03 | 0.00 | 2.14 | 6.18 | |||
| FNGAX | 1.12 | -0.03 | 0.00 | -0.03 | 0.00 | 2.13 | 6.15 | |||
| TSHIX | 0.42 | 0.02 | 0.04 | 0.03 | 0.48 | 0.99 | 2.30 | |||
| POVSX | 1.03 | 0.02 | 0.02 | -0.23 | 1.30 | 2.12 | 6.69 | |||
| DHMIX | 0.80 | -0.03 | 0.00 | -0.03 | 0.00 | 1.79 | 4.54 | |||
| VLEOX | 0.95 | 0.03 | 0.03 | 0.03 | 1.09 | 2.07 | 5.79 | |||
| BAQAX | 1.03 | 0.15 | 0.09 | 0.13 | 1.36 | 2.18 | 7.05 | |||
| HIIDX | 1.00 | 0.04 | 0.03 | 0.03 | 1.22 | 2.10 | 5.89 | |||
| APHQX | 0.73 | -0.05 | 0.00 | -0.06 | 0.00 | 1.53 | 4.08 |
Risk Metrics, Assumptions & Methodology
Beta exposure for BRANDES EMERGING estimates how much of the fund's return variability is driven by market-wide forces versus allocation-specific effects. Low beta does not mean low volatility; it means volatility is driven more by idiosyncratic than systematic factors.
Brandes Emerging Markets metrics are compiled from fund disclosures and market reference feeds and normalized before display. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Michael Smolkin, Member of Macroaxis Board of Directors
Volatility Profile Summary
Recent data suggests that Brandes Emerging Markets is more volatile than Dow Jones Industrial by approximately 1.61x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 13% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Brandes Emerging Markets exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gains reliability when combined with broader risk controls and volatility-adjusted analysis. Observed price behavior reflects modest downward movement with limited trading activity. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View BRANDES EMERGING probability analysis.
Very poor diversification
BRANDES EMERGING currently posts a 0.82 correlation with Dow Jones, indicating a Very poor diversification relationship for the active sample. This chart measures the degree of risk overlap between BRANDES EMERGING and Dow Jones.
Additional Risk Indicators
Looking at additional risk metrics for Brandes Emerging Markets frames how the position may behave under different market and portfolio conditions. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | 0.1128 | |||
| Market Risk Adjusted Performance | 0.1501 | |||
| Mean Deviation | 1.01 | |||
| Semi Deviation | 1.35 | |||
| Downside Deviation | 1.56 | |||
| Coefficient Of Variation | 882.59 | |||
| Standard Deviation | 1.49 |
BRANDES EMERGING Suggested Diversification Pairs
Pair trading with BRANDES EMERGING hedges company-specific exposure by balancing a long view with an offsetting position. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
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 BRANDES EMERGING 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. BRANDES EMERGING'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, BRANDES EMERGING'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 Brandes Emerging Markets.