Disciplined Value Series Fund Volatility
| MDFSX Fund | USD 8.61 -0.07 -0.81% |
Sharpe Ratio = -0.0146
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Latest disclosures for Disciplined Value Series show a Market Risk Adjusted Performance of -0.02%, a Risk of 0.70, and a Risk Adjusted Performance of -0.02%. The fund is currently underperforming relative to its full potential based on monthly moving averages.
Key indicators related to Disciplined Value's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Disciplined Value (3 Months):
Beta 0.61 | Alpha -0.01 | Risk 0.7 | Sharpe Ratio -0.01 | Expected Return -0.01 |
Assets With Similar Volatility
| 0.95 | VVIAX | Vanguard Value Index | PairCorr |
| 0.86 | AWSHX | Washington Mutual Investors | PairCorr |
| 0.86 | WSHCX | Washington Mutual Investors | PairCorr |
| 0.86 | WSHFX | Washington Mutual Investors | PairCorr |
| 0.86 | FWWMX | American Funds Washington | PairCorr |
| 0.86 | FWMMX | American Funds Washington | PairCorr |
| 0.9 | DODGX | Dodge Stock Fund | PairCorr |
| 0.86 | RWMAX | Washington Mutual Investors | PairCorr |
| 0.86 | CWMAX | Washington Mutual Investors | PairCorr |
| 0.86 | RWMGX | Washington Mutual Investors | PairCorr |
| 0.71 | VFIAX | Vanguard 500 Index | PairCorr |
| 0.73 | VTSAX | Vanguard Total Stock | PairCorr |
| 0.73 | VTSMX | Vanguard Total Stock | PairCorr |
| 0.73 | VSTSX | Vanguard Total Stock | PairCorr |
| 0.73 | VITSX | Vanguard Total Stock | PairCorr |
| 0.73 | VSMPX | Vanguard Total Stock | PairCorr |
| 0.89 | VTIAX | Vanguard Total International | PairCorr |
| 0.71 | VFINX | Vanguard 500 Index | PairCorr |
| 0.71 | VFFSX | Vanguard 500 Index | PairCorr |
| 0.66 | WMT | Walmart | PairCorr |
| 0.67 | DD | Dupont De Nemours | PairCorr |
Sensitivity To Market
Disciplined Value beta coefficient measures the volatility of Disciplined mutual fund relative to the systematic risk of the broad market benchmark. A beta of 0.61 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.7%. Disciplined Value Series has shown noticeable price swings over the selected period. Downside deviation is about 0.0% and standard deviation is about 0.7%, which summarize how widely returns have moved. Fund volatility reflects the combined movement of its underlying holdings and the fund’s asset mix.
3 Months Beta |Disciplined Value Series Demand TrendCurrent 90-day Disciplined Value correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far Disciplined 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.
Standard Deviation | 0.7 |
For Disciplined Value, 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 Disciplined Value's returns. Latest disclosures for Disciplined Value Series show a Maximum Drawdown of 2.59.
Mutual Fund Volatility Analysis
Volatility describes the degree to which Disciplined Value mutual fund price fluctuates in either direction. It captures how much Disciplined Value's price fluctuates, which is relevant to allocation calibration.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Disciplined Value Series'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, Disciplined Value has a beta of 0.6138. This indicates as returns on the market go up, Disciplined Value's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Disciplined Value Series tends to be smaller as well.Disciplined Value remains sensitive to broader mutual fund market conditions in addition to company or sector-specific developments. Portfolio diversification mitigates only part of this exposure. Latest disclosures for Disciplined Value Series show a Mean Deviation of 0.53 and a Standard Deviation of 0.70.
Predicted Return Distribution |
| Density |
Mutual Fund Risk Measures
Based on a 90-day horizon, the coefficient of variation of Disciplined Value is -6847.52. The daily returns are distributed with a variance of 0.49 and standard deviation of 0.7. The mean deviation of Disciplined Value Series is currently at 0.53. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.92
α | Alpha over Dow Jones | -0.0065 | |
β | Beta against Dow Jones | 0.61 | |
σ | Overall volatility | 0.70 | |
Ir | Information ratio | 0.0031 |
Mutual Fund Return Volatility
Disciplined Value historical daily return volatility represents how much of Disciplined Value fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.7006% 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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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
| High negative correlations
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Risk-Adjusted Indicators
Strong recent returns in Disciplined Mutual Fund do not always mean Disciplined Value Mutual Fund is outperforming peers on business quality. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| MNDFX | 0.53 | -0.01 | 0.00 | -0.03 | 0.00 | 1.00 | 2.52 | |||
| GTCEX | 0.71 | -0.02 | 0.00 | -0.05 | 0.00 | 1.42 | 3.42 | |||
| HFLGX | 0.59 | -0.03 | 0.00 | -0.07 | 0.00 | 1.09 | 3.69 | |||
| ECEOX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| DTLVX | 0.59 | 0.03 | 0.04 | 0.01 | 0.75 | 1.14 | 3.00 | |||
| CILGX | 0.85 | -0.08 | 0.00 | -0.14 | 0.00 | 1.87 | 5.15 | |||
| LZCOX | 1.07 | 0.13 | 0.07 | 0.07 | 1.49 | 2.45 | 6.04 | |||
| GCINX | 1.01 | -0.01 | 0.00 | -0.03 | 0.00 | 2.36 | 5.94 | |||
| GCIFX | 1.02 | -0.01 | 0.00 | -0.03 | 0.00 | 2.37 | 5.96 | |||
| AOTIX | 1.03 | 0.17 | 0.11 | 0.16 | 1.26 | 1.95 | 6.07 |
Risk Metrics, Assumptions & Methodology
Beta exposure for Disciplined Value estimates how much of the fund's return variability is driven by market-wide forces versus allocation-specific effects. Lower trading activity may introduce occasional variability in execution conditions.
Reported values for Disciplined Value Series are derived from fund disclosures and market reference feeds and standardized for analysis. 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 Disciplined Value Series is less volatile than Dow Jones Industrial by approximately 1.31x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each 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 6% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Disciplined Value Series 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 gains reliability when combined with broader risk controls and volatility-adjusted analysis. a moderate downward daily trend that may serve as a diversifier. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Disciplined Value probability analysis.
Minimal diversification benefit
For the present investment horizon, the measured correlation between Disciplined Value and Dow Jones stands at 0.92, or Minimal diversification benefit. The overlap area shows the portion of risk diversified away by holding both instruments together.
Additional Risk Indicators
Risk analysis around Disciplined Value Series gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.02 | |||
| Market Risk Adjusted Performance | -0.02 | |||
| Mean Deviation | 0.5339 | |||
| Coefficient Of Variation | -6,848 | |||
| Standard Deviation | 0.7006 | |||
| Variance | 0.4908 | |||
| Information Ratio | 0.0031 |
Disciplined Value Suggested Diversification Pairs
A paired position built around Disciplined Value Series reduces directional market exposure while expressing a relative-value view. 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 Disciplined Value 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. Disciplined Value'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, Disciplined Value'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 Disciplined Value Series.