Mid Cap Value Fund Volatility
| AVUAX Fund | USD 15.09 -0.23 -1.50% |
Mid Cap Value continues to exhibit a very low volatility profile over the designated horizon. Mid Cap Value is showing a Sharpe Ratio (Efficiency) of 0.0348, indicating risk-adjusted returns over the last 3 months. Current volatility conditions are reflected in 27 technical indicators.
Sharpe Ratio = 0.0348
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| Negative Returns | AVUAX |
Mid Cap Value reported a Market Risk Adjusted Performance of 0.01%, a Risk of 0.78, and a Risk Adjusted Performance of 0.01%. Based on monthly moving average positioning, MID CAP is operating near 2% of its observed historical performance range. Within a well-diversified portfolio, its contribution would depend on correlation and allocation weight.
Key indicators related to MID CAP's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
MID CAP 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 MID daily returns, and it is calculated using variance and standard deviation.
MID |
Volatility Strategy
Mid Cap Value price volatility may influence cost basis positioning and portfolio weighting over time. Price retracements and recoveries can alter allocation balance. Current statistical measures show total volatility near 0.78% with a beta coefficient of 0.73, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0348, evaluates return per unit of total risk. An alpha value of 0.0593 reflects performance relative to systematic market exposure. Expected return estimates near 0.027% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to MID CAP's market risk premium analysis include:
Beta 0.73 | Alpha 0.0593 | Risk 0.78 | Sharpe Ratio 0.0348 | Expected Return 0.027 |
Moving together with MID Mutual Fund
| 0.93 | AMGIX | Income Growth | PairCorr |
| 0.88 | AMKIX | Emerging Markets | PairCorr |
| 0.88 | TWMIX | Emerging Markets | PairCorr |
| 0.94 | TWTIX | Intermediate Term Tax | PairCorr |
| 0.83 | TWSCX | STRATEGIC ALLOCATION: | PairCorr |
| 0.83 | TWSAX | STRATEGIC ALLOCATION: | PairCorr |
| 0.83 | TWSMX | STRATEGIC ALLOCATION: | PairCorr |
| 0.87 | AOCIX | One Choice Portfolio | PairCorr |
| 0.68 | AOGIX | One Choice Portfolio | PairCorr |
| 0.85 | AOMIX | One Choice Portfolio | PairCorr |
| 0.61 | APORX | Short Duration Inflation | PairCorr |
| 0.89 | BCHYX | California High Yield | PairCorr |
| 0.71 | BULIX | Utilities Fund Investor | PairCorr |
| 0.75 | ARDTX | One Choice In | PairCorr |
Moving against MID Mutual Fund
Sensitivity To Market
MID CAP beta coefficient measures the volatility of MID mutual fund relative to the systematic risk of the overall market benchmark. Mathematically, beta represents the slope of the regression line comparing MID returns against market returns. A beta of 0.73 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.78%.Mid Cap Value has shown noticeable price swings over the selected period. Downside deviation is about 0.77% and standard deviation is about 0.76%, which summarize how widely returns have moved. Fund volatility can shift after rebalancing or changes in the underlying allocation bands.
3 Months Beta |Analyze Mid Cap Value Demand TrendCheck current 90 days MID CAP correlation with market (Dow Jones Industrial)Downside Risk
MID 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.
Standard Deviation | 0.78 |
It is essential to understand the difference between upside risk (as represented by MID CAP's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of MID CAP's daily returns or price. Mid Cap Value reported a Downside Deviation of 0.77, a Downside Variance of 0.59, and a Maximum Drawdown of 3.36.
Mutual Fund Volatility Analysis
Volatility refers to the frequency at which MID CAP fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with MID CAP's price changes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Mid Cap 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.
Projected Return Density Against Market
Assuming a 90-day horizon MID CAP has a beta of 0.7265 . This suggests as returns on the market go up, MID CAP's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Mid Cap Value is expected to be smaller as well.MID CAP is exposed to both systematic and unsystematic risk. Systematic risk reflects broader mutual fund market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. Mid Cap Value reported a Downside Deviation of 0.77, a Mean Deviation of 0.58, and a Semi Deviation of 0.74.
Predicted Return Density |
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What Drives MID CAP's Price Volatility?
Several factors can influence MID CAP's market volatility:Industry Dynamics
Sector-level events can directly affect MID CAP's price stability. Regulatory changes, supply disruptions, or shifts in demand within MID CAP's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like MID CAP.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for MID CAP's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward MID CAP. During periods of economic expansion, MID CAP's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.MID CAP's Company-Specific Factors
Volatility can also stem from events unique to MID CAP. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in MID CAP's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on MID CAP's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of MID CAP is 2872.95. The daily returns are distributed with a variance of 0.6 and standard deviation of 0.78. The mean deviation of Mid Cap Value is currently at 0.6. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.06 | |
β | Beta against Dow Jones | 0.73 | |
σ | Overall volatility | 0.78 | |
Ir | Information ratio | 0.11 |
Mutual Fund Return Volatility
MID CAP historical daily return volatility represents how much of MID CAP fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.7771% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8206% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
There is a big difference between MID Mutual Fund performing well and MID CAP 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 MID CAP'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SEMVX | 0.96 | 0.28 | 0.16 | 0.20 | 1.30 | 2.17 | 8.30 | |||
| TIDDX | 0.73 | 0.12 | 0.12 | 0.08 | 1.11 | 1.46 | 6.89 | |||
| PRIDX | 0.73 | 0.12 | 0.12 | 0.08 | 1.09 | 1.46 | 6.90 | |||
| PRHYX | 0.12 | 0.01 | 0.31 | -0.02 | 0.12 | 0.34 | 1.18 | |||
| MAMAX | 0.35 | 0.04 | 0.18 | 0.01 | 0.48 | 0.61 | 2.31 | |||
| TESIX | 0.59 | 0.03 | 0.15 | -0.30 | 0.77 | 1.28 | 6.80 | |||
| TWCAX | 0.76 | -0.01 | 0.00 | -0.09 | 0.00 | 1.21 | 4.02 |
Risk Metrics, Assumptions & Methodology
Volatility for MID CAP reflects NAV dispersion and exposure stability across disclosure periods. Higher dispersion implies wider price swings across observed periods.
Unless otherwise specified, data for Mid Cap Value is compiled from fund disclosures and market reference feeds and standardized for comparability. Updates may occur throughout the day. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Ellen Johnson - Member of Macroaxis Editorial BoardMID CAP Investment Opportunity
Recent data suggests that Dow Jones Industrial is meaningfully more volatile than Mid Cap Value, by roughly a 1.05x factor. Across the current 90-day horizon, that places the security below 7% of the broader equity and portfolio universe on a pure volatility basis.You can use Mid Cap Value to protect your portfolios against small market fluctuations. This move summary looks at how the current session may translate into a basic near-term setup. It is most useful when combined with broader risk controls and position-sizing discipline. a somewhat bearish sentiment, but the market may correct it shortly. Check odds of MID CAP to be traded at $14.64 in 90 days.Very weak diversification
AVUAX currently posts a 0.48 correlation with DJI, indicating a Very weak diversification relationship for the active sample. The cleaner interpretation is to review correlation beside volatility, expected return, and the role each holding plays in the portfolio.
MID CAP Additional Risk Indicators
Looking at additional risk metrics for Mid Cap Value helps investors judge how the position may behave under different market and portfolio conditions. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.0067 | |||
| Market Risk Adjusted Performance | 0.0057 | |||
| Mean Deviation | 0.5832 | |||
| Semi Deviation | 0.7417 | |||
| Downside Deviation | 0.7695 | |||
| Coefficient Of Variation | 11062.19 | |||
| Standard Deviation | 0.7578 |
MID CAP Suggested Diversification Pairs
Pair trading with MID CAP can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
| Salesforce vs. MID CAP | ||
| Alphabet vs. MID CAP | ||
| Citigroup vs. MID CAP | ||
| Ford vs. MID CAP | ||
| Visa vs. MID CAP | ||
| GM vs. MID CAP | ||
| SentinelOne vs. MID CAP | ||
| Dupont De vs. MID CAP | ||
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 MID CAP 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. MID CAP'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, MID CAP'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 Mid Cap Value.