Massachusetts Investors Trust Fund Volatility
| MITJX Fund | USD 34.25 0.37 1.09% |
Massachusetts Investors has Sharpe Ratio of -0.0921, which conveys that the entity had a -0.0921% return per unit of risk over the last 3 months. Massachusetts Investors exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Massachusetts Investors' Mean Deviation of 0.678, standard deviation of 1.68, and Risk Adjusted Performance of (0.07) to check out the risk estimate we provide. Key indicators related to Massachusetts Investors' volatility include:
90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Massachusetts Investors 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 Massachusetts daily returns, and it is calculated using variance and standard deviation. We also use Massachusetts's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Massachusetts Investors volatility.
Massachusetts |
Downward market volatility can be a perfect environment for investors who play the long game with Massachusetts Investors. They may decide to buy additional shares of Massachusetts Investors at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Massachusetts Mutual Fund
| 0.8 | LFTFX | Mfs Lifetime 2065 | PairCorr |
| 0.8 | LFTJX | Mfs Lifetime 2065 | PairCorr |
| 0.8 | LFTGX | Mfs Lifetime 2065 | PairCorr |
Massachusetts Investors Market Sensitivity And Downside Risk
Massachusetts Investors' beta coefficient measures the volatility of Massachusetts 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 Massachusetts mutual fund's returns against your selected market. In other words, Massachusetts Investors's beta of 0.72 provides an investor with an approximation of how much risk Massachusetts Investors mutual fund can potentially add to one of your existing portfolios. Massachusetts Investors Trust exhibits very low volatility with skewness of -6.34 and kurtosis of 46.95. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Massachusetts Investors' 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 Massachusetts Investors' 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 Massachusetts Investors Demand TrendCheck current 90 days Massachusetts Investors correlation with market (Dow Jones Industrial)Massachusetts Beta |
Massachusetts 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 | 1.71 |
It is essential to understand the difference between upside risk (as represented by Massachusetts Investors's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Massachusetts Investors' daily returns or price. Since the actual investment returns on holding a position in massachusetts 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 Massachusetts Investors.
Massachusetts Investors Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Massachusetts Investors fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Massachusetts Investors' price changes. Investors will then calculate the volatility of Massachusetts Investors' 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 Massachusetts Investors' volatility:
Historical Volatility
This type of fund volatility measures Massachusetts Investors' fluctuations based on previous trends. It's commonly used to predict Massachusetts Investors' 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 Massachusetts Investors' 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 Massachusetts Investors' 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. Massachusetts Investors 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.
Massachusetts Investors Projected Return Density Against Market
Assuming the 90 days horizon Massachusetts Investors has a beta of 0.7212 . This indicates as returns on the market go up, Massachusetts Investors average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Massachusetts Investors Trust 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 Massachusetts Investors or MFS 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 Massachusetts Investors' 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 Massachusetts 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.
Massachusetts Investors Trust 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 Massachusetts Investors 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.Massachusetts Investors Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Massachusetts Investors is -1085.87. The daily returns are distributed with a variance of 2.92 and standard deviation of 1.71. The mean deviation of Massachusetts Investors Trust is currently at 0.69. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | -0.18 | |
β | Beta against Dow Jones | 0.72 | |
σ | Overall volatility | 1.71 | |
Ir | Information ratio | -0.11 |
Massachusetts Investors Mutual Fund Return Volatility
Massachusetts Investors historical daily return volatility represents how much of Massachusetts Investors fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 1.7087% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.8043% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Massachusetts Investors Volatility
Volatility is a rate at which the price of Massachusetts Investors 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 Massachusetts Investors may increase or decrease. In other words, similar to Massachusetts's beta indicator, it measures the risk of Massachusetts Investors and helps estimate the fluctuations that may happen in a short period of time. So if prices of Massachusetts Investors 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 the funds assets primarily in equity securities. Equity securities include common stocks and other securities that represent an ownership interest in a company or other issuer. While it may invest the funds assets in companies of any size, the fund primarily invests in companies with large capitalizations. It may invest the funds assets in foreign securities.
Massachusetts Investors' 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 Massachusetts Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Massachusetts Investors' price varies over time.
3 ways to utilize Massachusetts Investors' volatility to invest better
Higher Massachusetts Investors' fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Massachusetts Investors 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. Massachusetts Investors 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 Massachusetts Investors investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Massachusetts Investors' 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 Massachusetts Investors' fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Massachusetts Investors Investment Opportunity
Massachusetts Investors Trust has a volatility of 1.71 and is 2.14 times more volatile than Dow Jones Industrial. 15 percent of all equities and portfolios are less risky than Massachusetts Investors. You can use Massachusetts Investors Trust to enhance the returns of your portfolios. The mutual fund experiences a large bullish trend. Check odds of Massachusetts Investors to be traded at $37.68 in 90 days.Weak diversification
The correlation between Massachusetts Investors Trust and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Massachusetts Investors Trust and DJI in the same portfolio, assuming nothing else is changed.
Massachusetts Investors Additional Risk Indicators
The analysis of Massachusetts Investors' 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 Massachusetts Investors' investment and either accepting that risk or mitigating it. Along with some common measures of Massachusetts Investors 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 | (0.07) | |||
| Market Risk Adjusted Performance | (0.22) | |||
| Mean Deviation | 0.678 | |||
| Coefficient Of Variation | (1,098) | |||
| Standard Deviation | 1.68 | |||
| Variance | 2.83 | |||
| Information Ratio | (0.11) |
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.
Massachusetts Investors 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 Massachusetts Investors 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. Massachusetts Investors' 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, Massachusetts Investors' 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 Massachusetts Investors Trust.
Other Information on Investing in Massachusetts Mutual Fund
Massachusetts Investors financial ratios help investors to determine whether Massachusetts 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 Massachusetts with respect to the benefits of owning Massachusetts Investors security.
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