Bogle Small Cap Fund Volatility
| BOGIX Fund | USD 31.82 -0.14 -0.44% |
Recent trading patterns suggest Bogle Small Cap maintains a very low volatility profile. The current Sharpe Ratio (Efficiency) for Bogle Small Cap is 0.0379, showing reward per unit of risk over the last 3 months. We identified 27 technical indicators influencing current risk dynamics.
Sharpe Ratio = 0.0379
| High Returns | Best Equity | |||
| Good Returns | ||||
| Average Returns | ||||
| Small Returns | ||||
| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | BOGIX |
Bogle Small Cap reported a Market Risk Adjusted Performance of 0.1%, a Risk of 0.99, and a Risk Adjusted Performance of 0.1%. Moving average data indicates BOGLE SMALL is positioned near 3% of its recent return envelope. Risk-adjusted contribution varies depending on portfolio structure.
Key indicators related to BOGLE SMALL's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for BOGLE SMALL draws on both historical price data and forward-looking implied volatility from the options market. Together these measures provide a comprehensive view of BOGLE SMALL's risk profile.
BOGLE |
BOGLE SMALL Volatility Strategy
Observed trading dispersion in Bogle Small Cap can affect long-term allocation structure. Current statistical measures show total volatility near 0.99% with a beta coefficient of 1.09, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0379, evaluates return per unit of total risk. An alpha value of 0.0738 reflects performance relative to systematic market exposure. Expected return estimates near 0.0377% 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 BOGLE SMALL's market risk premium analysis include:
Beta 1.09 | Alpha 0.0738 | Risk 0.99 | Sharpe Ratio 0.0379 | Expected Return 0.0377 |
Moving together with BOGLE Mutual Fund
| 0.77 | SGICX | Summit Global Investments | PairCorr |
| 0.83 | SGLIX | Summit Global Investments | PairCorr |
| 0.86 | SGPKX | Sgi Peak Growth | PairCorr |
| 0.96 | SGPGX | Sgi Prudent Growth | PairCorr |
| 0.91 | SILVX | Summit Global Investments | PairCorr |
| 0.84 | LVOLX | Summit Global Investments | PairCorr |
| 0.94 | VSMAX | Vanguard Small Cap | PairCorr |
| 0.94 | VSCIX | Vanguard Small Cap | PairCorr |
| 0.94 | VSCPX | Vanguard Small Cap | PairCorr |
| 0.94 | NAESX | Vanguard Small Cap | PairCorr |
| 0.85 | FSSNX | Fidelity Small Cap | PairCorr |
| 0.97 | DFSTX | Us Small Cap | PairCorr |
| 0.96 | FTHSX | Fuller Thaler Behavioral | PairCorr |
| 0.96 | FTHNX | Fuller Thaler Behavioral | PairCorr |
| 0.86 | PASVX | T Rowe Price | PairCorr |
| 0.76 | PRVIX | T Rowe Price | PairCorr |
| 0.85 | LIIAX | Columbia Porate Income | PairCorr |
| 0.84 | SRINX | Columbia Porate Income | PairCorr |
| 0.81 | DHIVX | Centre Global | PairCorr |
| 0.88 | NWFFX | New World Fund | PairCorr |
| 0.84 | INIVX | International Investors | PairCorr |
| 0.94 | AMECX | Income Fund | PairCorr |
| 0.85 | PRPHX | Permanent Portfolio Class | PairCorr |
| 0.85 | SGDLX | Sprott Gold Equity | PairCorr |
BOGLE SMALL Sensitivity To Market
BOGLE SMALL'sBOGLE SMALL systematic risk exposure is reflected in a beta value of 1.09. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 0.99%.Over the current lookback period, Bogle Small Cap shows a very low volatility profile, using downside deviation (0.97%) as a primary reference. Fund volatility reflects the combined movement of its underlying holdings and the fund’s asset mix.
3 Months Beta |Analyze Bogle Small Cap Demand TrendCheck current 90 days BOGLE SMALL correlation with market (Dow Jones Industrial)BOGLE SMALL Downside Risk
Standard deviation for BOGLE expresses the daily price volatility over a selected time horizon as a spread around the mean. High values indicate volatile instruments; low values indicate stable ones.
Standard Deviation | 0.99 |
For BOGLE SMALL investors, the distinction between upside and downside risk matters. Standard deviation measures total volatility including favorable moves, while downside deviation and semi-deviation isolate the loss risk in BOGLE SMALL's daily returns. Bogle Small Cap reported a Downside Deviation of 0.97, a Downside Variance of 0.94, and a Maximum Drawdown of 4.97.
Bogle Small Cap Mutual Fund Volatility Analysis
Volatility describes the degree to which BOGLE SMALL mutual fund price fluctuates in either direction. Highly volatile mutual funds like BOGLE SMALL can offer significant profit opportunities, but also come with heightened risk.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Bogle Small Cap 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.
BOGLE SMALL Projected Return Density Against Market
Assuming a 90-day horizon the mutual fund has the beta coefficient of 1.0925 suggesting Bogle Small Cap market returns are sensitive to returns on the market. As the market goes up or down, BOGLE SMALL is expected to follow.Systematic risk links BOGLE SMALL to overall mutual fund market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. Bogle Small Cap reported a Downside Deviation of 0.97, a Mean Deviation of 0.75, and a Semi Deviation of 0.89.
Predicted Return Density |
| Returns |
What Drives a BOGLE SMALL 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 investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.BOGLE SMALL Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of BOGLE SMALL is 2641.01. The daily returns are distributed with a variance of 0.99 and standard deviation of 0.99. The mean deviation of Bogle Small Cap is currently at 0.75. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.07 | |
β | Beta against Dow Jones | 1.09 | |
σ | Overall volatility | 0.99 | |
Ir | Information ratio | 0.07 |
BOGLE SMALL Mutual Fund Return Volatility
BOGLE SMALL historical daily return volatility represents how much of BOGLE SMALL fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 0.9947% volatility of returns over 90 trading days. By contrast, Dow Jones Industrial accepts 0.7724% volatility on return distribution over a 90-day horizon. Performance |
| Timeline |
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
| High negative correlations
|
Risk-Adjusted Indicators
There is a big difference between BOGLE Mutual Fund performing well and BOGLE SMALL 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 BOGLE SMALL'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SWFCX | 0.72 | 0.26 | 0.25 | 0.29 | 0.75 | 1.51 | 9.59 | |||
| RYIPX | 0.62 | -0.05 | 0.00 | -0.15 | 0.00 | 1.18 | 4.62 | |||
| WIGTX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| EKGIX | 0.61 | -0.01 | 0.00 | -0.02 | 0.00 | 1.69 | 4.44 | |||
| CGO | 0.73 | 0.08 | 0.07 | 0.10 | 1.00 | 1.37 | 4.27 | |||
| TPZ | 0.68 | 0.10 | 0.12 | 0.50 | 0.75 | 1.55 | 4.14 | |||
| IHD | 0.81 | 0.11 | 0.09 | 0.29 | 1.22 | 1.65 | 6.42 | |||
| MCN | 0.55 | 0.03 | 0.06 | 0.06 | 0.61 | 1.21 | 3.16 | |||
| TCMIX | 0.62 | 0.04 | 0.05 | 0.05 | 0.98 | 1.20 | 5.20 |
About BOGLE SMALL Volatility Analysis
Volatility for BOGLE SMALL reflects NAV dispersion and exposure stability across disclosure periods. Range expansion increases sensitivity to market stress conditions.
Unless otherwise specified, financial data for Bogle Small Cap is derived from periodic company reporting (annual and quarterly where available). Asset-level metrics are computed daily by Macroaxis LLC and refreshed regularly based on asset type. Updates may occur throughout the day.
BOGLE SMALL Investment Opportunity
Measured over the selected horizon, Bogle Small Cap carries roughly 1.29 times the return volatility of Dow Jones Industrial. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use Bogle Small Cap to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is most useful when combined with broader risk controls and position-sizing discipline. a normal downward trend and little activity. Check odds of BOGLE SMALL to be traded at $31.5 in 90 days.Poor diversification
Across the chosen horizon, BOGIX and DJI show a correlation of 0.7 and fall into the Poor diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
BOGLE SMALL Additional Risk Indicators
Risk analysis around Bogle Small Cap becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.0569 | |||
| Market Risk Adjusted Performance | 0.0649 | |||
| Mean Deviation | 0.7508 | |||
| Semi Deviation | 0.8863 | |||
| Downside Deviation | 0.9713 | |||
| Coefficient Of Variation | 1407.94 | |||
| Standard Deviation | 0.9854 |
BOGLE SMALL Suggested Diversification Pairs
Pair trading with BOGLE SMALL can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
| Bank of America vs. BOGLE SMALL | ||
| Salesforce vs. BOGLE SMALL | ||
| Citigroup vs. BOGLE SMALL | ||
| SentinelOne vs. BOGLE SMALL | ||
| Microsoft vs. BOGLE SMALL | ||
| GM vs. BOGLE SMALL | ||
| Alphabet vs. BOGLE SMALL | ||
| Ford vs. BOGLE SMALL | ||
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 BOGLE SMALL 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. BOGLE SMALL'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, BOGLE SMALL'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 Bogle Small Cap.