Touchstone Mid Cap Fund Volatility
At this stage we consider Touchstone Mutual Fund to be very steady. Touchstone Mid Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the fund had a 0.14% return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Touchstone Mid Cap, which you can use to evaluate the volatility of the fund. Please validate Touchstone Mid's Semi Deviation of 0.3794, coefficient of variation of 739.35, and Risk Adjusted Performance of 0.098 to confirm if the risk estimate we provide is consistent with the expected return of 0.1%.
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Touchstone Mid 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 Mid volatility.
Touchstone Mid Cap Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Touchstone Mid fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Touchstone Mid's price changes. Investors will then calculate the volatility of Touchstone Mid'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 Mid's volatility:
Historical Volatility
This type of fund volatility measures Touchstone Mid's fluctuations based on previous trends. It's commonly used to predict Touchstone Mid'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 Mid'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 Mid's to be redeemed at a future date.Transformation |
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Touchstone Mid Projected Return Density Against Market
Assuming the 90 days horizon Touchstone Mid has a beta of 0.162 . This usually implies as returns on the market go up, Touchstone Mid average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Touchstone Mid Cap 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 Touchstone Mid 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 Mid'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 Mid Cap has an alpha of 0.072, implying that it can generate a 0.072 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
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What Drives a Touchstone Mid 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.Touchstone Mid Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Touchstone Mid is 739.35. The daily returns are distributed with a variance of 0.55 and standard deviation of 0.74. The mean deviation of Touchstone Mid Cap is currently at 0.58. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.72
α | Alpha over Dow Jones | 0.07 | |
β | Beta against Dow Jones | 0.16 | |
σ | Overall volatility | 0.74 | |
Ir | Information ratio | -0.03 |
Touchstone Mid Mutual Fund Return Volatility
Touchstone Mid historical daily return volatility represents how much of Touchstone Mid fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 0.7431% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.7311% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Touchstone Mid Investment Opportunity
Touchstone Mid Cap has a volatility of 0.74 and is 1.01 times more volatile than Dow Jones Industrial. 6 percent of all equities and portfolios are less risky than Touchstone Mid. You can use Touchstone Mid Cap to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Touchstone Mid to be traded at $0.0 in 90 days.Average diversification
The correlation between Touchstone Mid Cap and DJI is 0.16 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Touchstone Mid Cap and DJI in the same portfolio, assuming nothing else is changed.
Touchstone Mid Additional Risk Indicators
The analysis of Touchstone Mid'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 Mid's investment and either accepting that risk or mitigating it. Along with some common measures of Touchstone Mid 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 | 0.098 | |||
| Market Risk Adjusted Performance | 0.5687 | |||
| Mean Deviation | 0.5785 | |||
| Semi Deviation | 0.3794 | |||
| Downside Deviation | 0.5122 | |||
| Coefficient Of Variation | 739.35 | |||
| Standard Deviation | 0.7431 |
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 Mid 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 Mid 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 Mid'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 Mid'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 Mid Cap.
Check out World Market Map to better understand how to build diversified portfolios. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product. You can also try the Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
Other Tools for Touchstone Mutual Fund
When running Touchstone Mid's price analysis, check to measure Touchstone Mid's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Touchstone Mid is operating at the current time. Most of Touchstone Mid's value examination focuses on studying past and present price action to predict the probability of Touchstone Mid's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Touchstone Mid's price. Additionally, you may evaluate how the addition of Touchstone Mid to your portfolios can decrease your overall portfolio volatility.
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| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk |