Cohen Steers Closed Fund Volatility
| FOF Fund | USD 13.90 -0.28 -1.97% |
Sharpe Ratio = -0.0459
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Cohen Steers Closed (FOF) recorded a Market Risk Adjusted Performance of -0.03%, a Risk of 1.11, and a Risk Adjusted Performance of -0.02%. Moving average data indicates the fund is not operating at maximum efficiency.
Key indicators related to Cohen Steers' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Cohen Steers (3 Months):
Beta 0.68 | Alpha -0.03 | Risk 1.11 | Sharpe Ratio -0.05 | Expected Return -0.05 |
Moving together with Cohen Steers Fund
| 0.91 | PFN | PIMCO Income Strategy | PairCorr |
| 0.9 | XDSMX | Dreyfus Strategic | PairCorr |
| 0.81 | CIF | Mfs Intermediate High | PairCorr |
| 0.87 | XNXJX | Nuveen New Jersey | PairCorr |
| 0.87 | PCF | Putnam High Income | PairCorr |
| 0.84 | XNBHX | Neuberger Berman | PairCorr |
| 0.89 | DIS | Walt Disney Aggressive Push | PairCorr |
| 0.62 | GE | GE Aerospace | PairCorr |
| 0.71 | HD | Home Depot Sell-off Trend | PairCorr |
| 0.75 | PG | Procter Gamble | PairCorr |
| 0.66 | MSFT | Microsoft | PairCorr |
| 0.67 | DD | Dupont De Nemours | PairCorr |
| 0.71 | MMM | 3M Company | PairCorr |
Moving Against Cohen Steers Fund
| 0.31 | PFE | Pfizer Inc Sell-off Trend | PairCorr |
Sensitivity To Market
Beta analysis for Cohen Steers Closed evaluates how its price movements correlate with the broader market. With a beta of 0.68, Cohen Steers reflects measurable exposure to systematic risk. Observed total volatility stands near 1.11%. Asymmetric risk in Cohen Steers Closed is visible through downside-focused metrics. Downside deviation reads 0.0% and semi-deviation reads 0.0%, isolating the loss-side component of total return variability. Fund volatility reflects the combined movement of its underlying holdings and the fund’s asset mix.
3 Months Beta |Cohen Steers Closed Demand TrendCurrent 90-day Cohen Steers correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation reading for Cohen Steers summarizes how concentrated or dispersed daily returns have been around their mean. Volatile instruments have higher standard deviations; stable ones have lower. When Cohen Steers standard deviation rises relative to its historical range, it signals a regime change in price behavior. Annualizing the daily figure scales Cohen Steers standard deviation to a time horizon more commonly used in risk budgeting.
Standard Deviation | 1.11 |
Standard deviation and downside deviation are complementary tools for assessing Cohen Steers's risk. Downside deviation or semi-deviation of Cohen Steers' returns isolates the loss-side component of total variability. For Cohen Steers, understanding the difference between standard deviation and downside deviation is analytically important. Semi-deviation of Cohen Steers' returns captures only losses, providing a more focused risk measure. Cohen Steers Closed (FOF) recorded a Maximum Drawdown of 5.58.
Fund Volatility Analysis
In evaluating Cohen Steers as an investment, volatility is a primary indicator of risk. High volatility generally means the fund price moves dramatically in a short period of time. Lower risk tolerance generally corresponds to preference for funds exhibiting lower volatility. Volatility metrics inform stop-loss placement and exposure calibration for Cohen Steers.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Cohen Steers Closed'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
Over a 90-day investment horizon, Cohen Steers has a beta of 0.6822. This usually indicates as returns on the market go up, Cohen Steers's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Cohen Steers Closed tends to be smaller as well.Cohen Steers volatility reflects broader fund market cycles alongside company or sector-specific developments. Diversified portfolios reduce specific exposure but not systemic risk. Cohen Steers Closed (FOF) recorded a Mean Deviation of 0.91 and a Standard Deviation of 1.14.
Predicted Return Distribution |
| Density |
What Drives Cohen Steers' Price Volatility?
Credit Performance and Loan Quality
Loan quality metrics, provision trends, and credit loss reserves shape Cohen Steers' earnings volatility and investor confidence.Interest Rate Environment
Rate cycle positioning determines Cohen Steers' net interest income trajectory, directly affecting profitability expectations for Cohen Steers.Capital Markets and Funding Conditions
Wholesale funding conditions, deposit competition, and capital adequacy ratios influence Cohen Steers' risk profile.Regulatory and Policy Developments
Regulatory actions, compliance requirements, and supervisory guidance create earnings uncertainty for Cohen Steers.Fund Risk Measures
Over a 90-day investment horizon, the coefficient of variation of Cohen Steers is -2178.37. The daily returns are distributed with a variance of 1.23 and standard deviation of 1.11. The mean deviation of Cohen Steers Closed is currently at 0.88. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.97
α | Alpha over Dow Jones | -0.0344 | |
β | Beta against Dow Jones | 0.68 | |
σ | Overall volatility | 1.11 | |
Ir | Information ratio | -0.0318 |
Fund Return Volatility
Daily return volatility for Cohen Steers measures how far fund returns deviate from their average on a day-to-day basis. The mutual fund shows 1.1091% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial reported 0.9313% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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
Evaluating Cohen Steers Fund requires separating price momentum from underlying operating strength versus competitors. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| RFI | 0.73 | 0.09 | 0.09 | 0.19 | 0.83 | 1.73 | 4.66 | |||
| ASG | 1.18 | 0.05 | 0.03 | 0.04 | 1.37 | 2.34 | 6.53 | |||
| EDD | 1.05 | -0.07 | 0.00 | -0.07 | 0.00 | 2.35 | 5.11 | |||
| TWN | 1.74 | 0.77 | 0.35 | 0.72 | 1.68 | 4.53 | 9.05 | |||
| JRI | 0.85 | 0.05 | 0.05 | 0.10 | 0.99 | 1.96 | 5.90 | |||
| HAMVX | 0.70 | 0.09 | 0.10 | 0.11 | 0.72 | 1.52 | 3.97 | |||
| AWP | 0.88 | 0.05 | 0.04 | 0.09 | 1.17 | 2.29 | 5.65 | |||
| PFL | 0.56 | -0.04 | 0.00 | -0.08 | 0.00 | 1.27 | 4.76 | |||
| NCV | 0.95 | 0.13 | 0.09 | 0.16 | 1.23 | 2.22 | 5.38 |
Risk Metrics, Assumptions & Methodology
Beta exposure for Cohen Steers estimates how much of the fund's return variability is driven by market-wide forces versus allocation-specific effects. Beta instability across periods suggests the relationship between market risk and asset volatility is shifting.
Cohen Steers Closed data is compiled from fund disclosures and market reference feeds and standardized for comparability. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Cohen Steers Closed is more volatile than Dow Jones Industrial by approximately 1.19x 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 9% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Cohen Steers Closed exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This price-change note interprets the latest move in the context of short-horizon trading behavior. It is intended to separate routine noise from more speculative bursts in price action. a somewhat bearish sentiment with potential for near-term correction. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Cohen Steers probability analysis.
Very poor diversification
Cohen Steers currently posts a 0.89 correlation with Dow Jones, indicating a Very poor diversification relationship for the active sample. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
Additional Risk Indicators
Looking at additional risk metrics for Cohen Steers Closed frames how the position may behave under different market and portfolio conditions. A thorough risk review clarifies whether current exposure warrants maintenance, reduction, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | -0.02 | |||
| Market Risk Adjusted Performance | -0.03 | |||
| Mean Deviation | 0.9056 | |||
| Coefficient Of Variation | -5,505 | |||
| Standard Deviation | 1.14 | |||
| Variance | 1.29 | |||
| Information Ratio | -0.03 |
Cohen Steers Suggested Diversification Pairs
Pair trading with Cohen Steers hedges company-specific exposure by balancing a long view with an offsetting position. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
Pair diversification lowers aggregate risk, though certain risk categories remain unaffected regardless of how positions are paired. Systematic risk - the risk tied to the broad market - cannot be eliminated by pairing Cohen Steers with another position. However, Cohen Steers' company-specific risk can be partially offset by selecting a pair that does not move in lockstep with Cohen Steers Closed.