Touchstone Value Fund Volatility
| TVLIX Fund | USD 11.92 0.10 0.85% |
Touchstone Value appears to be not too volatile, given 3 months investment horizon. Touchstone Value owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the fund had a 0.16 % return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Touchstone Value Fund, which you can use to evaluate the volatility of the fund. Please review Touchstone Value's Semi Deviation of 0.3616, coefficient of variation of 728.87, and Risk Adjusted Performance of 0.1069 to confirm if our risk estimates are consistent with your expectations.
Sharpe Ratio = 0.1571
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Based on monthly moving average Touchstone Value is performing at about 12% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Touchstone Value by adding it to a well-diversified portfolio.
Key indicators related to Touchstone Value's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Touchstone Value Mutual 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 Touchstone daily returns, and it is calculated using variance and standard deviation. We also use Touchstone's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Touchstone Value volatility.
Touchstone |
Downward market volatility can be a perfect environment for investors who play the long game with Touchstone Value. They may decide to buy additional shares of Touchstone Value at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Touchstone Mutual Fund
| 0.86 | TVOYX | Touchstone Small Cap | PairCorr |
| 0.95 | TEGAX | Mid Cap Growth | PairCorr |
| 0.98 | TEGIX | Mid Cap Growth | PairCorr |
| 0.98 | TEGYX | Mid Cap Growth | PairCorr |
| 0.85 | SAGWX | Sentinel Small Pany | PairCorr |
| 0.88 | TEQCX | Touchstone Sustainability | PairCorr |
| 0.88 | TEQAX | Touchstone Sustainability | PairCorr |
| 0.96 | SSCOX | Sentinel Small Pany | PairCorr |
| 0.94 | TFCCX | Touchstone Large Cap | PairCorr |
| 0.97 | SSRRX | Sentinel Small | PairCorr |
| 0.91 | TFFCX | Touchstone Focused | PairCorr |
| 0.98 | TFGRX | Touchstone Mid Cap | PairCorr |
| 0.93 | TFFIX | Touchstone Focused | PairCorr |
| 0.88 | SSSGX | Sentinel Low Duration | PairCorr |
| 0.93 | TFFYX | Touchstone Focused | PairCorr |
| 0.98 | SBACX | Sentinel Balanced | PairCorr |
| 0.91 | TFOAX | Touchstone Focused | PairCorr |
| 0.96 | TGVCX | Growth Opportunities | PairCorr |
| 0.96 | TGVFX | Growth Opportunities | PairCorr |
| 0.99 | TGVYX | Growth Opportunities | PairCorr |
| 0.89 | SCRLX | Sentinel Mon Stock | PairCorr |
| 0.87 | SCSCX | Sentinel Mon Stock | PairCorr |
| 0.88 | THIYX | High Yield Fund | PairCorr |
| 0.88 | THYCX | High Yield Fund | PairCorr |
| 0.88 | THYAX | High Yield Fund | PairCorr |
Touchstone Value Market Sensitivity And Downside Risk
Touchstone Value's beta coefficient measures the volatility of Touchstone mutual 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 Touchstone mutual fund's returns against your selected market. In other words, Touchstone Value's beta of 1.39 provides an investor with an approximation of how much risk Touchstone Value mutual fund can potentially add to one of your existing portfolios. Touchstone Value Fund exhibits relatively low volatility with skewness of 6.32 and kurtosis of 46.79. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Touchstone Value's mutual fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Touchstone Value's mutual 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 Touchstone Value Demand TrendCheck current 90 days Touchstone Value correlation with market (Dow Jones Industrial)Touchstone Value Volatility and Downside Risk
Touchstone 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.
Touchstone Value Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Touchstone Value fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Touchstone Value's price changes. Investors will then calculate the volatility of Touchstone Value's mutual fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A mutual 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 Touchstone Value's volatility:
Historical Volatility
This type of fund volatility measures Touchstone Value's fluctuations based on previous trends. It's commonly used to predict Touchstone Value's future behavior based on its past. However, it cannot conclusively determine the future direction of the mutual fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Touchstone Value'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 Touchstone Value'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. Touchstone Value 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.
Touchstone Value Projected Return Density Against Market
Assuming the 90 days horizon the mutual fund has the beta coefficient of 1.3894 . This usually implies as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Touchstone Value will likely underperform.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 Touchstone Value or Touchstone 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 Touchstone Value's price will be affected by overall mutual 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 Touchstone 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.
Touchstone Value Fund has an alpha of 0.2005, implying that it can generate a 0.2 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Touchstone Value 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 investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Touchstone Value Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Touchstone Value is 636.42. The daily returns are distributed with a variance of 4.31 and standard deviation of 2.08. The mean deviation of Touchstone Value Fund is currently at 0.9. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.73
α | Alpha over Dow Jones | 0.20 | |
β | Beta against Dow Jones | 1.39 | |
σ | Overall volatility | 2.08 | |
Ir | Information ratio | 0.11 |
Touchstone Value Mutual Fund Return Volatility
Touchstone Value historical daily return volatility represents how much of Touchstone Value fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 2.0755% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.7587% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
| 0.84 | 0.81 | 0.9 | 0.86 | 0.89 | 0.96 | SMQFX | ||
| 0.84 | 0.9 | 0.86 | 0.85 | 0.89 | 0.86 | RYAHX | ||
| 0.81 | 0.9 | 0.95 | 0.97 | 0.87 | 0.88 | EPASX | ||
| 0.9 | 0.86 | 0.95 | 0.99 | 0.87 | 0.94 | PCEMX | ||
| 0.86 | 0.85 | 0.97 | 0.99 | 0.85 | 0.92 | REMVX | ||
| 0.89 | 0.89 | 0.87 | 0.87 | 0.85 | 0.89 | GAIPX | ||
| 0.96 | 0.86 | 0.88 | 0.94 | 0.92 | 0.89 | ZEMIX | ||
Risk-Adjusted Indicators
There is a big difference between Touchstone Mutual Fund performing well and Touchstone Value Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Touchstone Value's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SMQFX | 1.21 | 0.62 | 0.82 | 1.07 | 0.00 | 1.48 | 35.01 | |||
| RYAHX | 1.07 | 0.06 | 0.02 | 0.25 | 1.17 | 2.68 | 5.63 | |||
| EPASX | 0.50 | 0.07 | 0.04 | 0.62 | 0.59 | 1.39 | 2.37 | |||
| PCEMX | 0.63 | 0.19 | 0.19 | 2.35 | 0.47 | 1.60 | 3.13 | |||
| REMVX | 0.58 | 0.20 | 0.24 | 2.59 | 0.29 | 1.47 | 2.81 | |||
| GAIPX | 0.17 | 0.02 | (0.10) | (2.21) | 0.00 | 0.48 | 1.27 | |||
| ZEMIX | 0.98 | 0.38 | 0.42 | 0.58 | 0.20 | 1.84 | 21.21 |
About Touchstone Value Volatility
Volatility is a rate at which the price of Touchstone Value or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Touchstone Value may increase or decrease. In other words, similar to Touchstone's beta indicator, it measures the risk of Touchstone Value and helps estimate the fluctuations that may happen in a short period of time. So if prices of Touchstone Value fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.The fund normally invests in equity securities of large- and mid-cap companies that the funds sub-advisor believes are undervalued. As part of this strategy, the fund may invest up to 15 percent of its assets in foreign equity securities. Equity securities include common and preferred stocks and depositary receipts.
Touchstone Value's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Touchstone Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Touchstone Value's price varies over time.
3 ways to utilize Touchstone Value's volatility to invest better
Higher Touchstone Value's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Touchstone Value fund is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Touchstone Value fund volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Touchstone Value investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Touchstone Value's fund can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Touchstone Value's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Touchstone Value Investment Opportunity
Touchstone Value Fund has a volatility of 2.08 and is 2.74 times more volatile than Dow Jones Industrial. 18 percent of all equities and portfolios are less risky than Touchstone Value. You can use Touchstone Value Fund to enhance the returns of your portfolios. The mutual fund experiences a moderate upward volatility. Check odds of Touchstone Value to be traded at $13.11 in 90 days.Very poor diversification
The correlation between Touchstone Value Fund and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Touchstone Value Fund and DJI in the same portfolio, assuming nothing else is changed.
Touchstone Value Additional Risk Indicators
The analysis of Touchstone Value'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 Touchstone Value's investment and either accepting that risk or mitigating it. Along with some common measures of Touchstone Value mutual 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 | 0.1069 | |||
| Market Risk Adjusted Performance | 0.2 | |||
| Mean Deviation | 0.8751 | |||
| Semi Deviation | 0.3616 | |||
| Downside Deviation | 0.7861 | |||
| Coefficient Of Variation | 728.87 | |||
| Standard Deviation | 2.0 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential mutual funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Touchstone Value 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.
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 Touchstone 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. Touchstone 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, Touchstone 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 Touchstone Value Fund.
Other Information on Investing in Touchstone Mutual Fund
Touchstone Value financial ratios help investors to determine whether Touchstone Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Touchstone with respect to the benefits of owning Touchstone Value security.
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