SFI INVESTIMENTOS (Brazil) Volatility
| IAGR11 Fund | 2.82 0.01 0.35% |
SFI INVESTIMENTOS owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.12, which indicates the fund had a -0.12% return per unit of volatility over the last 3 months. SFI INVESTIMENTOS DO exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SFI INVESTIMENTOS's risk adjusted performance of (0.08), and Variance of 5.23 to confirm the risk estimate we provide.
SFI |
SFI INVESTIMENTOS 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 SFI daily returns, and it is calculated using variance and standard deviation. We also use SFI's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of SFI INVESTIMENTOS volatility.
Downward market volatility can be a perfect environment for investors who play the long game with SFI INVESTIMENTOS. They may decide to buy additional shares of SFI INVESTIMENTOS at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
SFI INVESTIMENTOS Market Sensitivity And Downside Risk
SFI INVESTIMENTOS's beta coefficient measures the volatility of SFI 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 SFI fund's returns against your selected market. In other words, SFI INVESTIMENTOS's beta of -0.11 provides an investor with an approximation of how much risk SFI INVESTIMENTOS fund can potentially add to one of your existing portfolios. SFI INVESTIMENTOS DO exhibits very low volatility with skewness of 0.01 and kurtosis of 4.55. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure SFI INVESTIMENTOS's fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact SFI INVESTIMENTOS's 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 SFI INVESTIMENTOS Demand TrendCheck current 90 days SFI INVESTIMENTOS correlation with market (Dow Jones Industrial)SFI Beta |
SFI 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.
Standard Deviation | 2.36 |
It is essential to understand the difference between upside risk (as represented by SFI INVESTIMENTOS's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of SFI INVESTIMENTOS's daily returns or price. Since the actual investment returns on holding a position in sfi fund tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in SFI INVESTIMENTOS.
SFI INVESTIMENTOS Fund Volatility Analysis
Volatility refers to the frequency at which SFI INVESTIMENTOS fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with SFI INVESTIMENTOS's price changes. Investors will then calculate the volatility of SFI INVESTIMENTOS's fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A 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 SFI INVESTIMENTOS's volatility:
Historical Volatility
This type of fund volatility measures SFI INVESTIMENTOS's fluctuations based on previous trends. It's commonly used to predict SFI INVESTIMENTOS's future behavior based on its past. However, it cannot conclusively determine the future direction of the fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for SFI INVESTIMENTOS'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 SFI INVESTIMENTOS'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. SFI INVESTIMENTOS 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.
SFI INVESTIMENTOS Projected Return Density Against Market
Assuming the 90 days trading horizon SFI INVESTIMENTOS DO has a beta of -0.107 . This usually indicates as returns on the benchmark increase, returns on holding SFI INVESTIMENTOS are expected to decrease at a much lower rate. During a bear market, however, SFI INVESTIMENTOS DO is likely to outperform the market.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 SFI INVESTIMENTOS or Commodities Funds 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 SFI INVESTIMENTOS's price will be affected by overall 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 SFI 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.
SFI INVESTIMENTOS DO has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives a SFI INVESTIMENTOS 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 many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.SFI INVESTIMENTOS Fund Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of SFI INVESTIMENTOS is -860.44. The daily returns are distributed with a variance of 5.55 and standard deviation of 2.36. The mean deviation of SFI INVESTIMENTOS DO is currently at 1.48. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | -0.27 | |
β | Beta against Dow Jones | -0.11 | |
σ | Overall volatility | 2.36 | |
Ir | Information ratio | -0.17 |
SFI INVESTIMENTOS Fund Return Volatility
SFI INVESTIMENTOS historical daily return volatility represents how much of SFI INVESTIMENTOS fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund accepts 2.3559% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7464% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
SFI INVESTIMENTOS Investment Opportunity
SFI INVESTIMENTOS DO has a volatility of 2.36 and is 3.15 times more volatile than Dow Jones Industrial. 20 percent of all equities and portfolios are less risky than SFI INVESTIMENTOS. You can use SFI INVESTIMENTOS DO to protect your portfolios against small market fluctuations. The fund experiences a normal downward trend and little activity. Check odds of SFI INVESTIMENTOS to be traded at 2.79 in 90 days.Good diversification
The correlation between SFI INVESTIMENTOS DO and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SFI INVESTIMENTOS DO and DJI in the same portfolio, assuming nothing else is changed.
SFI INVESTIMENTOS Additional Risk Indicators
The analysis of SFI INVESTIMENTOS'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 SFI INVESTIMENTOS's investment and either accepting that risk or mitigating it. Along with some common measures of SFI INVESTIMENTOS 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 | (0.08) | |||
| Market Risk Adjusted Performance | 2.63 | |||
| Mean Deviation | 1.42 | |||
| Coefficient Of Variation | (845.34) | |||
| Standard Deviation | 2.29 | |||
| Variance | 5.23 | |||
| Information Ratio | (0.17) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
SFI INVESTIMENTOS 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 SFI INVESTIMENTOS 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. SFI INVESTIMENTOS'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, SFI INVESTIMENTOS'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 SFI INVESTIMENTOS DO.
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