Western Asset Intermediate Fund Volatility
| ITCAX Fund | USD 8.04 0.02 0.25% |
Western Asset Interm shows Sharpe Ratio of -0.11, which attests that the fund had a -0.11% return per unit of risk over the last 3 months. Western Asset Interm exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Western Asset's Mean Deviation of 0.1618, standard deviation of 0.2356, and Market Risk Adjusted Performance of (0.84) to validate the risk estimate we provide. Key indicators related to Western Asset's volatility include:
90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Western Asset 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 Western daily returns, and it is calculated using variance and standard deviation. We also use Western's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Western Asset volatility.
Western |
Downward market volatility can be a perfect environment for investors who play the long game with Western Asset. They may decide to buy additional shares of Western Asset at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Western Asset Market Sensitivity And Downside Risk
Western Asset's beta coefficient measures the volatility of Western 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 Western mutual fund's returns against your selected market. In other words, Western Asset's beta of 0.042 provides an investor with an approximation of how much risk Western Asset mutual fund can potentially add to one of your existing portfolios. Western Asset Intermediate exhibits very low volatility with skewness of -1.2 and kurtosis of 2.95. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Western Asset'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 Western Asset'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 Western Asset Interm Demand TrendCheck current 90 days Western Asset correlation with market (Dow Jones Industrial)Western Beta |
Western 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 | 0.24 |
It is essential to understand the difference between upside risk (as represented by Western Asset's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Western Asset's daily returns or price. Since the actual investment returns on holding a position in western mutual 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 Western Asset.
Western Asset Interm Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Western Asset fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Western Asset's price changes. Investors will then calculate the volatility of Western Asset'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 Western Asset's volatility:
Historical Volatility
This type of fund volatility measures Western Asset's fluctuations based on previous trends. It's commonly used to predict Western Asset'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 Western Asset'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 Western Asset'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. Western Asset Interm 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.
Western Asset Projected Return Density Against Market
Assuming the 90 days horizon Western Asset has a beta of 0.042 . This usually indicates as returns on the market go up, Western Asset average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Western Asset Intermediate will be expected to be much smaller as well.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 Western Asset or Franklin Templeton Investments 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 Western Asset'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 Western 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.
Western Asset Intermediate 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 Western Asset 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.Western Asset Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Western Asset is -885.72. The daily returns are distributed with a variance of 0.06 and standard deviation of 0.24. The mean deviation of Western Asset Intermediate is currently at 0.17. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.04 | |
β | Beta against Dow Jones | 0.04 | |
σ | Overall volatility | 0.24 | |
Ir | Information ratio | -0.3 |
Western Asset Mutual Fund Return Volatility
Western Asset historical daily return volatility represents how much of Western Asset fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 0.2402% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.8089% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Western Asset Volatility
Volatility is a rate at which the price of Western Asset 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 Western Asset may increase or decrease. In other words, similar to Western's beta indicator, it measures the risk of Western Asset and helps estimate the fluctuations that may happen in a short period of time. So if prices of Western Asset 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.Under normal circumstances, the fund invests at least 80 percent of its assets in investment grade California municipal securities or other investments with similar economic characteristics. It may invest up to 20 percent of its assets in unrated securities that the subadviser determines to be equivalent to investment grade. The fund may invest in securities of any maturity. It is non-diversified.
Western Asset'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 Western Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Western Asset's price varies over time.
3 ways to utilize Western Asset's volatility to invest better
Higher Western Asset's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Western Asset Interm 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. Western Asset Interm 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 Western Asset Interm investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Western Asset'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 Western Asset's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Western Asset Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.81 and is 3.38 times more volatile than Western Asset Intermediate. 2 percent of all equities and portfolios are less risky than Western Asset. You can use Western Asset Intermediate to enhance the returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of Western Asset to be traded at $8.44 in 90 days.Average diversification
The correlation between Western Asset Intermediate and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Intermediate and DJI in the same portfolio, assuming nothing else is changed.
Western Asset Additional Risk Indicators
The analysis of Western Asset'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 Western Asset's investment and either accepting that risk or mitigating it. Along with some common measures of Western Asset 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 | (0.11) | |||
| Market Risk Adjusted Performance | (0.84) | |||
| Mean Deviation | 0.1618 | |||
| Coefficient Of Variation | (910.44) | |||
| Standard Deviation | 0.2356 | |||
| Variance | 0.0555 | |||
| Information Ratio | (0.30) |
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.
Western Asset 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 Western Asset 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. Western Asset'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, Western Asset'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 Western Asset Intermediate.
Other Information on Investing in Western Mutual Fund
Western Asset financial ratios help investors to determine whether Western 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 Western with respect to the benefits of owning Western Asset security.
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