Northern Bond Index Fund Volatility

NOBOX Fund

USD 9.26 -0.02 -0.22%

Northern Bond's volatility, beta, and downside-risk metrics are presented in one read. The fund shows minimal price volatility over the last 3 months.

Sharpe Ratio = -0.0117

Leading Returns	Top Quartile
Strong
Moderate
Modest
Cash	Low	Moderate	Elevated	High
Below Benchmark	NOBOX

Northern Bond Index posted a Market Risk Adjusted Performance of 0.04%, a Risk of 0.26, and a Risk Adjusted Performance of 0.02% for the reported period. Moving average data indicates the fund is not operating at maximum efficiency.

Key indicators related to Northern Bond's volatility include:

90 Days Market Risk

Very Low

Chance Of Distress

Below Average

90 Days Economic Sensitivity

Barely shadows the market

Key risk metrics for Northern Bond (3 Months):

Beta

0.0563

Alpha

0.001916

Risk

0.26

Sharpe Ratio

-0.01

Expected Return

-0.0031

Moving together with Northern Mutual Fund

0.99	NOCBX	Northern E Bond	Pair Corr
0.91	NOAZX	Northern Arizona Tax	Pair Corr
0.67	NOEMX	Northern Emerging Markets	Pair Corr
0.99	NOFIX	Northern Fixed Income	Pair Corr
0.62	NOIEX	Northern Income Equity	Pair Corr
0.78	NOIGX	Northern International	Pair Corr
0.77	NOINX	Northern International	Pair Corr
0.88	NOITX	Northern Intermediate	Pair Corr
0.62	NOLVX	Northern Large Cap	Pair Corr
0.96	NSIUX	Northern Short	Pair Corr
0.87	NSITX	Northern Short	Pair Corr
0.91	NCATX	Northern California Tax	Pair Corr
0.81	NCITX	Northern California	Pair Corr
0.97	VBTLX	Vanguard Total Bond	Pair Corr
0.87	VBMFX	Vanguard Total Bond	Pair Corr
0.86	VBTIX	Vanguard Total Bond	Pair Corr
0.86	VTBSX	Vanguard Total Bond	Pair Corr
0.87	VTBIX	Vanguard Total Bond	Pair Corr
0.87	VTBNX	Vanguard Total Bond	Pair Corr
0.86	BFAFX	Bond Fund	Pair Corr
0.92	ABNDX	Bond Fund	Pair Corr
0.93	BFACX	Bond Fund	Pair Corr
0.86	FBOFX	American Funds	Pair Corr

Sensitivity To Market

Beta analysis for Northern Bond Index evaluates how its price movements correlate with the broader market. With a beta of 0.0563, Northern Bond reflects measurable exposure to systematic risk. Observed total volatility stands near 0.26%. Asymmetric risk in Northern Bond Index is visible through downside-focused metrics. Downside deviation reads 0.31% and semi-deviation reads 0.23%, isolating the loss-side component of total return variability. A fund’s downside behavior depends on what it holds and how correlated those holdings are in stressed markets. Funds with more equity exposure typically show higher volatility than more bond-heavy funds.

Current 90-day Northern Bond correlation with market (Dow Jones Industrial)

0.0019

0.06

Competition

3 Months Beta |Northern Bond Index Demand Trend

Current 90-day Northern Bond correlation with market (Dow Jones Industrial)

Downside Risk

The standard deviation reading for Northern summarizes how concentrated or dispersed daily returns have been around their mean. Volatile instruments have higher standard deviations; stable ones have lower. When Northern standard deviation rises relative to its historical range, it signals a regime change in price behavior. Annualizing the daily figure scales Northern standard deviation to a time horizon more commonly used in risk budgeting.

Standard Deviation

0.26

Standard deviation and downside deviation are complementary tools for assessing Northern Bond's risk. Downside deviation or semi-deviation of Northern Bond's returns isolates the loss-side component of total variability. For Northern Bond, understanding the difference between standard deviation and downside deviation is analytically important. Semi-deviation of Northern Bond's returns captures only losses, providing a more focused risk measure. Northern Bond Index posted a Downside Deviation of 0.31, a Downside Variance of 0.10, and a Maximum Drawdown of 1.41 for the reported period.

Mutual Fund Volatility Analysis

In evaluating Northern Bond as an investment, volatility is a primary indicator of risk. High volatility generally means the mutual fund price moves dramatically in a short period of time. Lower risk tolerance generally corresponds to preference for mutual funds exhibiting lower volatility. Volatility metrics inform stop-loss placement and exposure calibration for Northern Bond.

Transformation

This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Northern Bond Index'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, Northern Bond has a beta of 0.0563. This indicates as returns on the market go up, Northern Bond's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Northern Bond Index tends to be smaller as well.

Northern Bond volatility reflects broader mutual fund market cycles alongside company or sector-specific developments. Diversified portfolios reduce specific exposure but not systemic risk. Northern Bond Index posted a Downside Deviation of 0.31, a Mean Deviation of 0.21, and a Semi Deviation of 0.23 for the reported period.

Northern Bond Index has an alpha of 0.0019, implying that it can generate a 0.0019 percent excess return over Dow Jones Industrial after adjusting for the inherent market risk (beta).

Predicted Return Distribution

Density

Northern Bond's volatility is typically evaluated with standard deviation and beta. Standard deviation reflects how far Northern Bond's returns usually move from the mean over the selected horizon.

What Drives Northern Bond's Price Volatility?

Industry Dynamics

Peer results and sector re-ratings in the Northern Funds sector often influence how investors price Northern Bond's risk.

Political and Economic Environment

Macro data and central-bank signals can change valuation assumptions and short-term positioning around Northern Bond.

Northern Bond's Company-Specific Factors

Company-specific events such as product updates, strategic actions, or execution issues can trigger volatility clusters.

Mutual Fund Risk Measures

Based on a 90-day horizon, the coefficient of variation of Northern Bond is -8566.65. The daily returns are distributed with a variance of 0.07 and standard deviation of 0.26. The mean deviation of Northern Bond Index is currently at 0.2. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.94

α	Alpha over Dow Jones	0.0019	Details
β	Beta against Dow Jones	0.06	Details
σ	Overall volatility	0.26	Details
Ir	Information ratio	0.01	Details

Mutual Fund Return Volatility

Daily return volatility for Northern Bond measures how far fund returns deviate from their average on a day-to-day basis. The fund shows 0.2642% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial reported 0.9502% volatility on return distribution over a 90-day investment horizon.

Performance

Timeline

Related Correlations Analysis

	UNWPX	FGADX	IIGCX	FEGOX	MXMVX	GLRBX
UNWPX		0.78	0.87	0.72	0.71	0.81	UNWPX
FGADX	0.78		0.9	0.99	0.57	0.72	FGADX
IIGCX	0.87	0.9		0.88	0.52	0.65	IIGCX
FEGOX	0.72	0.99	0.88		0.5	0.66	FEGOX
MXMVX	0.71	0.57	0.52	0.5		0.9	MXMVX
GLRBX	0.81	0.72	0.65	0.66	0.9		GLRBX
	UNWPX	FGADX	IIGCX	FEGOX	MXMVX	GLRBX

Risk-Adjusted Indicators

Evaluating Northern Mutual 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
UNWPX	2.79	0.21	0.05	-0.41	3.86	-2.85	5.67	-6.19	19.71
FGADX	2.76	0.03	0.01	0.01	4.46	-2.31	4.33	-6.49	14.46
IIGCX	2.64	0.02	0.00	-0.04	4.61	-2.15	4.71	-6.38	15.60
FEGOX	2.45	-0.01	0.00	-0.01	0.00	0.00	4.57	-5.58	15.88
MXMVX	0.68	0.07	0.08	0.08	0.81	-0.72	1.48	-1.44	4.03
GLRBX	0.43	0.04	0.06	0.06	0.49	-0.48	1.05	-1.00	2.62

Risk Metrics, Assumptions & Methodology

NAV dispersion for Northern Bond measures the spread of periodic returns around the mean, reflecting exposure variability. Return scatter increases when new information or regime shifts widen the distribution of outcomes.

Northern Bond Index 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: Michael Smolkin, Member of Macroaxis Board of Directors

Northern Bond Volatility Profile Summary

Recent data suggests that Northern Bond Index is less volatile than Dow Jones Industrial by approximately 3.65x 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 2% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.

Northern Bond Index 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. 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 Northern Bond probability analysis.

Weak diversification

Across the chosen horizon, Northern Bond and Dow Jones show a correlation of 0.51 and fall into the Weak diversification bucket. This chart measures the degree of risk overlap between Northern Bond and Dow Jones.

View Details

Northern Bond Additional Risk Indicators

A broader risk-indicator set for Northern Bond Index extends the analysis beyond standard volatility and risk measures. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.

	Risk Adjusted Performance	0.0164
	Market Risk Adjusted Performance	0.0431
	Mean Deviation	0.2093
	Semi Deviation	0.2317
	Downside Deviation	0.3122
	Coefficient Of Variation	2291.34
	Standard Deviation	0.2718

Northern Bond Suggested Diversification Pairs

Pair analysis provides a framework for evaluating relative performance between Northern Bond Index and comparable securities. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.

	STMicroelectronics vs. Northern Bond
	Alphabet vs. Northern Bond
	Dupont De vs. Northern Bond
	GM vs. Northern Bond
	Ford vs. Northern Bond
	Microsoft vs. Northern Bond
	Salesforce vs. Northern Bond
	Kratos Defense vs. Northern Bond
	SentinelOne vs. Northern Bond

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 Northern Bond with another position. However, Northern Bond's company-specific risk can be partially offset by selecting a pair that does not move in lockstep with Northern Bond Index.