First Eagle Fund Volatility
| FEAIX Fund | USD 31.10 0.30 0.97% |
Recent trading patterns suggest First Eagle Fund maintains very low price volatility over the last 3 months. First Eagle Fund posts a Sharpe ratio of 0.0288, showing reward per unit of risk over the last 3 months. The current volatility backdrop is described by 27 technical indicators.
Sharpe Ratio = 0.0288
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | FEAIX |
Latest disclosures for First Eagle Fund show a Market Risk Adjusted Performance of 0.02%, a Risk of 0.81, and a Risk Adjusted Performance of 0.02%. Moving average data indicates FIRST EAGLE is positioned near 2% of its recent return envelope. Inclusion in a well-diversified allocation would influence portfolio dispersion metrics. Diversified allocation alters FIRST EAGLE's relative contribution to total volatility. The monthly average framework offers perspective on FIRST EAGLE's recent trajectory.
Key indicators related to FIRST EAGLE's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for FIRST EAGLE draws on both historical price data and forward-looking implied volatility. Periods of elevated FIRST EAGLE volatility are typically followed by calmer conditions, and vice versa. The odds of financial distress provide a fundamental complement to statistical volatility measures for FIRST EAGLE. A high-volatility FIRST EAGLE's environment expands both upside and downside scenarios for FIRST EAGLE investors.
FIRST |
Volatility Strategy
Observed trading dispersion in First Eagle Fund can affect long-term allocation structure. Current statistical measures show total volatility near 0.81% with a beta coefficient of 0.75, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0288, evaluates return per unit of total risk. An alpha value of 0.0845 reflects performance relative to systematic market exposure. Expected return estimates near 0.0234% 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 FIRST EAGLE's market risk premium analysis include:
Beta 0.75 | Alpha 0.0845 | Risk 0.81 | Sharpe Ratio 0.0288 | Expected Return 0.0234 |
Moving together with FIRST Mutual Fund
| 0.93 | FEBIX | First Eagle Global | PairCorr |
| 0.93 | FEBCX | First Eagle Global | PairCorr |
| 0.93 | FEBAX | First Eagle Global | PairCorr |
| 1.0 | FEAMX | First Eagle Fund | PairCorr |
| 0.93 | FEBRX | First Eagle Global | PairCorr |
| 1.0 | FEFRX | First Eagle Fund | PairCorr |
| 0.98 | FEGRX | First Eagle Global | PairCorr |
| 0.88 | FEHIX | First Eagle High | PairCorr |
| 0.89 | FEHCX | First Eagle High | PairCorr |
| 0.88 | FEHAX | First Eagle High | PairCorr |
| 0.98 | SGENX | First Eagle Global | PairCorr |
| 0.93 | FEMAX | First Eagle Smid | PairCorr |
| 0.84 | SGGDX | First Eagle Gold | PairCorr |
| 0.96 | FEORX | First Eagle Overseas | PairCorr |
| 0.87 | FEREX | First Eagle Funds | PairCorr |
| 0.87 | FERAX | First Eagle Funds | PairCorr |
| 0.98 | FESGX | First Eagle Global | PairCorr |
| 0.95 | FESAX | First Eagle Small | PairCorr |
| 0.87 | FERRX | First Eagle Funds | PairCorr |
| 0.95 | FESRX | First Eagle Small | PairCorr |
| 0.96 | FESOX | First Eagle Overseas | PairCorr |
| 0.93 | FESMX | First Eagle Smid | PairCorr |
| 0.96 | SGOIX | First Eagle Overseas | PairCorr |
| 0.97 | FEVRX | First Eagle Value | PairCorr |
| 0.97 | FEVIX | First Eagle Value | PairCorr |
| 0.97 | FEVCX | First Eagle Value | PairCorr |
| 0.84 | FEURX | First Eagle Gold | PairCorr |
| 0.93 | FEXRX | First Eagle Smid | PairCorr |
| 0.95 | VVIAX | Vanguard Value Index | PairCorr |
Sensitivity To Market
FIRST EAGLE systematic risk exposure is reflected in a beta value of 0.75. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 0.81%.Over the current lookback period, First Eagle Fund shows a very low volatility profile, using downside deviation (0.98%) as a primary reference. Portfolio turnover and allocation changes can alter fund volatility over time.
3 Months Beta |Analyze First Eagle Fund Demand TrendCheck current 90 days FIRST EAGLE correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation for FIRST expresses the daily price volatility as a spread around the mean. A large standard deviation indicates a volatile instrument; a small one indicates relative price stability. FIRST standard deviation captures the average daily price deviation from the mean over the selected horizon. The daily dispersion captured by standard deviation is one of the most widely used risk metrics for FIRST.
Standard Deviation | 0.81 |
For FIRST EAGLE investors, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of FIRST EAGLE's returns. Standard deviation of FIRST EAGLE measures total price dispersion, including upside moves. Using both metrics together provides a more complete view of FIRST EAGLE's risk characteristics. Latest disclosures for First Eagle Fund show a Downside Deviation of 0.98, a Downside Variance of 0.96, and a Maximum Drawdown of 3.58.
Mutual Fund Volatility Analysis
Volatility describes the degree to which FIRST EAGLE mutual fund price fluctuates in either direction. It captures how much FIRST EAGLE's price fluctuates, helping investors set appropriate position sizes. Volatility in FIRST EAGLE reflects the degree of uncertainty around FIRST EAGLE's mutual fund price. Periods of elevated volatility in FIRST EAGLE can reward disciplined traders while exposing long-term holders to drawdowns.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. First Eagle Fund 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 FIRST EAGLE has a beta of 0.7544 . This usually indicates as returns on the market go up, FIRST EAGLE's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding First Eagle Fund is expected to be smaller as well.Systematic risk links FIRST EAGLE 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. Latest disclosures for First Eagle Fund show a Downside Deviation of 0.98, a Mean Deviation of 0.58, and a Semi Deviation of 0.93.
Predicted Return Density |
| Returns |
What Drives FIRST EAGLE's Price Volatility?
Several factors can influence FIRST EAGLE's market volatility:Industry Dynamics
Sector-level events can directly affect FIRST EAGLE's price stability. Regulatory changes, supply disruptions, or shifts in demand within FIRST EAGLE'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 FIRST EAGLE.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for FIRST EAGLE's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward FIRST EAGLE. During periods of economic expansion, FIRST EAGLE's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.FIRST EAGLE's Company-Specific Factors
Volatility can also stem from events unique to FIRST EAGLE. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in FIRST EAGLE's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on FIRST EAGLE's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of FIRST EAGLE is 3473.01. The daily returns are distributed with a variance of 0.66 and standard deviation of 0.81. The mean deviation of First Eagle Fund is currently at 0.61. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.08 | |
β | Beta against Dow Jones | 0.75 | |
σ | Overall volatility | 0.81 | |
Ir | Information ratio | 0.14 |
Mutual Fund Return Volatility
FIRST EAGLE historical daily return volatility represents how much of FIRST EAGLE fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.8134% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8388% on return distribution over a 90-day investment 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
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Risk-Adjusted Indicators
There is a big difference between FIRST Mutual Fund performing well and FIRST EAGLE Mutual Fund doing well as a business compared to the competition. Risk-adjusted metrics allow investors to compare FIRST EAGLE's efficiency and downside exposure against peers in a more meaningful way. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TEOJX | 0.91 | 0.16 | 0.10 | 0.08 | 1.50 | 1.77 | 7.29 | |||
| VMMSX | 0.90 | 0.16 | 0.11 | 0.06 | 1.37 | 1.73 | 6.90 | |||
| APDOX | 0.17 | 0.03 | 0.34 | 0.23 | 0.21 | 0.28 | 1.10 | |||
| DODEX | 0.80 | 0.17 | 0.15 | 0.14 | 1.09 | 1.57 | 5.88 | |||
| WIESX | 0.86 | -0.03 | 0.00 | -0.13 | 0.00 | 1.53 | 5.40 | |||
| EPEIX | 0.71 | 0.07 | 0.09 | 0.01 | 1.08 | 1.56 | 5.32 | |||
| RYMBX | 1.25 | 0.44 | 0.42 | -0.91 | 1.06 | 3.36 | 7.46 |
Risk Metrics, Assumptions & Methodology
Volatility for FIRST EAGLE reflects NAV dispersion and exposure stability across disclosure periods. Range expansion increases sensitivity to market stress conditions.
Inputs for First Eagle Fund come from fund disclosures and market reference feeds and are mapped into a consistent schema for analysis. Some fields can appear with publication lag. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Michael Smolkin - Member of Macroaxis Board of DirectorsFIRST EAGLE Investment Opportunity
Recent data suggests that Dow Jones Industrial is meaningfully more volatile than First Eagle Fund, by roughly a 1.04x 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 First Eagle Fund to enhance the returns of the portfolio. This short-horizon strategy note focuses on what the latest move may imply for immediate trading context. It works best as a directional cue rather than as a standalone forecast. a moderate upward volatility. Check odds of FIRST EAGLE to be traded at $34.21 in 90 days.Weak diversification
FIRST EAGLE currently posts a 0.56 correlation with Dow Jones, indicating a Weak diversification relationship for the active sample. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
FIRST EAGLE Additional Risk Indicators
Looking at additional risk metrics for First Eagle Fund frames how the position may behave under different market and portfolio conditions. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | 0.0206 | |||
| Market Risk Adjusted Performance | 0.0237 | |||
| Mean Deviation | 0.5826 | |||
| Semi Deviation | 0.9316 | |||
| Downside Deviation | 0.9798 | |||
| Coefficient Of Variation | 3846.99 | |||
| Standard Deviation | 0.7828 |
FIRST EAGLE Suggested Diversification Pairs
Pair trading with FIRST EAGLE can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
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 FIRST EAGLE 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. FIRST EAGLE'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, FIRST EAGLE'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 First Eagle Fund.