Intech Managed Volatility Fund Volatility
| JRSDX Fund | USD 11.54 -0.14 -1.20% |
Over the designated horizon, Intech Managed Volatility maintains a minimal volatility profile. Intech Managed Volatility posts a Sharpe Ratio (Efficiency) of -0.0505, suggesting weak return efficiency over the last 3 months. We identified 21 technical indicators influencing current risk dynamics.
Sharpe Ratio = -0.0505
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | JRSDX |
Intech Managed Volatility reported a Market Risk Adjusted Performance of -0.1%, a Risk of 0.79, and a Risk Adjusted Performance of -0.05%. Monthly moving average analysis shows INTECH US is not yet reaching its full return potential. Incorporating it into a well-diversified portfolio can enhance total return while reducing risk.
Key indicators related to INTECH US's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
INTECH US's volatility is most commonly measured using the annualized standard deviation of daily returns. This statistical measure reflects the magnitude of INTECH US's typical price swings and is a primary input in options pricing models.
INTECH |
Volatility Strategy
Intech Managed Volatility return fluctuations can modify its marginal contribution to total portfolio variance. Allocation size and correlation determine overall impact. Current statistical measures show total volatility near 0.79% with a beta coefficient of 0.84, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0505, evaluates return per unit of total risk. An alpha value of 0.0146 reflects performance relative to systematic market exposure. Expected return estimates near -0.0397% 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 INTECH US's market risk premium analysis include:
Beta 0.84 | Alpha 0.0146 | Risk 0.79 | Sharpe Ratio -0.05 | Expected Return -0.04 |
Moving together with INTECH Mutual Fund
| 0.79 | VTSAX | Vanguard Total Stock | PairCorr |
| 0.98 | VFIAX | Vanguard 500 Index | PairCorr |
| 0.98 | VTSMX | Vanguard Total Stock | PairCorr |
| 0.98 | VITSX | Vanguard Total Stock | PairCorr |
| 0.98 | VSMPX | Vanguard Total Stock | PairCorr |
| 0.79 | VSTSX | Vanguard Total Stock | PairCorr |
| 0.98 | VFINX | Vanguard 500 Index | PairCorr |
| 0.78 | VFFSX | Vanguard 500 Index | PairCorr |
| 0.98 | VINIX | Vanguard Institutional | PairCorr |
| 0.98 | VIIIX | Vanguard Institutional | PairCorr |
Sensitivity To Market
Intech Managed Volatility exhibits a beta of 0.84, representing its market-relative sensitivity based on regression modeling. Beta quantifies systematic risk by measuring the slope of asset returns against benchmark returns. Overall return volatility is approximately 0.79%.Volatility metrics for Intech Managed Volatility describe how stable or unstable returns have been over the selected window. Current downside deviation is about 0.0%. Fund volatility reflects the combined movement of its underlying holdings and the fund’s asset mix.
3 Months Beta |Analyze Intech Managed Volatility Demand TrendCheck current 90 days INTECH US correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of INTECH measures how widely its daily prices are dispersed around the mean for a given time period. Highly volatile instruments have large standard deviations; stable instruments have small ones.
Standard Deviation | 0.79 |
Standard deviation captures both upside and downside movement in INTECH US. However, investors specifically concerned with loss potential should use downside deviation or semi-deviation of INTECH US's returns. Intech Managed Volatility reported a Maximum Drawdown of 3.62.
Mutual Fund Volatility Analysis
INTECH US fund volatility is a measure of the speed and extent of INTECH US's price movements. High volatility generally means the mutual fund price moves dramatically up or down in a short period of time. Low volatility means INTECH US's price does not fluctuate dramatically and tends to be more predictable.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Intech Managed Volatility 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 INTECH US has a beta of 0.8368 . This indicates as returns on the market go up, INTECH US's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Intech Managed Volatility is expected to be smaller as well.Investors in INTECH US face systematic risk from overall mutual fund market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. Intech Managed Volatility reported a Mean Deviation of 0.63 and a Standard Deviation of 0.78.
Predicted Return Density |
| Returns |
What Drives INTECH US's Price Volatility?
Several factors can influence INTECH US's market volatility:Industry Dynamics
Sector-level events can directly affect INTECH US's price stability. Regulatory changes, supply disruptions, or shifts in demand within INTECH US'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 INTECH US.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for INTECH US's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward INTECH US. During periods of economic expansion, INTECH US's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.INTECH US's Company-Specific Factors
Volatility can also stem from events unique to INTECH US. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in INTECH US's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on INTECH US's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of INTECH US is -1978.87. The daily returns are distributed with a variance of 0.62 and standard deviation of 0.79. The mean deviation of Intech Managed Volatility is currently at 0.63. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.01 | |
β | Beta against Dow Jones | 0.84 | |
σ | Overall volatility | 0.79 | |
Ir | Information ratio | 0.04 |
Mutual Fund Return Volatility
INTECH US return volatility captures the typical daily swing in fund returns relative to the mean over the selected period. The fund has volatility of 0.786% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial has volatility of 0.8255% on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
| 0.76 | 0.62 | 0.77 | 0.21 | WESRX | ||
| 0.76 | 0.92 | 0.97 | 0.63 | CAGCX | ||
| 0.62 | 0.92 | 0.97 | 0.82 | HICSX | ||
| 0.77 | 0.97 | 0.97 | 0.7 | CNSDX | ||
| 0.21 | 0.63 | 0.82 | 0.7 | FSAWX | ||
Risk-Adjusted Indicators
Evaluating INTECH Mutual Fund requires separating price momentum from underlying business quality relative to competitors. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| WESRX | 0.94 | 0.03 | 0.00 | -0.05 | 0.00 | 1.49 | 5.49 | |||
| CAGCX | 0.53 | 0.07 | 0.17 | 0.04 | 0.56 | 1.17 | 3.64 | |||
| HICSX | 0.79 | 0.11 | 0.13 | 0.05 | 0.92 | 1.61 | 4.91 | |||
| CNSDX | 0.87 | 0.11 | 0.10 | 0.03 | 1.03 | 1.87 | 5.19 | |||
| FSAWX | 0.10 | 0.01 | 0.16 | 0.99 | 0.22 | 0.19 | 1.81 |
Risk Metrics, Assumptions & Methodology
Volatility for INTECH US reflects NAV dispersion and exposure stability across disclosure periods. Observed drawdowns appear relatively moderate compared with broader market swings.
For Intech Managed Volatility, this section uses fund disclosures and market reference feeds with Macroaxis normalization rules applied to keep cross-asset comparisons consistent. Intraday timing differences may exist. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardINTECH US Investment Opportunity
Dow Jones Industrial is about 1.05 times more volatile than Intech Managed Volatility based on recent return behavior. That difference can matter when investors want a steadier position size or lower contribution to total portfolio risk.You can use Intech Managed Volatility 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 gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a somewhat bearish sentiment, but the market may correct it shortly. Check odds of INTECH US to be traded at $11.19 in 90 days.Very poor diversification
For the present investment horizon, the measured correlation between JRSDX and DJI stands at 0.8, or Very poor diversification. Used correctly, the chart helps investors judge whether adding the second position genuinely diversifies the first.
INTECH US Additional Risk Indicators
Looking at additional risk metrics for Intech Managed Volatility 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 | -0.05 | |||
| Market Risk Adjusted Performance | -0.06 | |||
| Mean Deviation | 0.6258 | |||
| Coefficient Of Variation | -1,644 | |||
| Standard Deviation | 0.7787 | |||
| Variance | 0.6063 | |||
| Information Ratio | 0.0368 |
INTECH US Suggested Diversification Pairs
Pair trading with INTECH US 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.
| GM vs. INTECH US | ||
| Salesforce vs. INTECH US | ||
| Visa vs. INTECH US | ||
| Dupont De vs. INTECH US | ||
| Alphabet vs. INTECH US | ||
| Bank of America vs. INTECH US | ||
| SentinelOne vs. INTECH US |
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around INTECH US, market-wide risk remains. What pair trading can address is INTECH US's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.