Mesirow Financial Small Fund Volatility
| MSVIX Fund | USD 4.75 -0.09 -1.86% |
Recent trading patterns suggest Mesirow Financial Small maintains a high volatility profile. Mesirow Financial Small indicates a Sharpe Ratio (Efficiency) of -0.11, showing negative reward per unit of risk over the last 3 months. We observed 20 technical indicators shaping the current volatility backdrop.
Sharpe Ratio = -0.1086
| High Returns | Best Equity | |||
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | MSVIX |
Mesirow Financial Small posted a Market Risk Adjusted Performance of -1.3%, a Risk of 1.08, and a Risk Adjusted Performance of -0.1% for the reported period. Moving average data indicates MESIROW FINANCIAL is not operating at maximum efficiency. A well-diversified portfolio allocation can reduce market risk and improve total performance.
Key indicators related to MESIROW FINANCIAL's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for MESIROW FINANCIAL draws on both historical price data and forward-looking implied volatility from the options market. Together these measures provide a comprehensive view of MESIROW FINANCIAL's risk profile.
MESIROW |
Volatility Strategy
Observed trading dispersion in Mesirow Financial Small can affect long-term allocation structure. Current statistical measures show total volatility near 1.08% with a beta coefficient of 0.79, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.11, evaluates return per unit of total risk. An alpha value of -0.98 reflects performance relative to systematic market exposure. Expected return estimates near -0.12% 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 MESIROW FINANCIAL's market risk premium analysis include:
Beta 0.79 | Alpha -0.98 | Risk 1.08 | Sharpe Ratio -0.11 | Expected Return -0.12 |
Moving together with MESIROW Mutual Fund
Moving against MESIROW Mutual Fund
Sensitivity To Market
MESIROW FINANCIAL systematic risk exposure is reflected in a beta value of 0.79. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 1.08%.Over the current lookback period, Mesirow Financial Small shows a high volatility profile, using downside deviation (0.0%) as a primary reference. Portfolio turnover and allocation changes can alter fund volatility over time.
| α | -0.9837 | β | 0.79 | Check current 90 days MESIROW FINANCIAL correlation with market (Dow Jones Industrial)
Downside Risk
Standard deviation for MESIROW 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 | 1.08 |
For MESIROW FINANCIAL 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 MESIROW FINANCIAL's daily returns. Mesirow Financial Small posted a Maximum Drawdown of 62.89 for the reported period.
Mutual Fund Volatility Analysis
Volatility describes the degree to which MESIROW FINANCIAL mutual fund price fluctuates in either direction. Highly volatile mutual funds like MESIROW FINANCIAL can offer significant profit opportunities, but also come with heightened risk.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Mesirow Financial Small 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 MESIROW FINANCIAL has a beta of 0.7914 . This indicates as returns on the market go up, MESIROW FINANCIAL's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Mesirow Financial Small is expected to be smaller as well.Systematic risk links MESIROW FINANCIAL 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. Mesirow Financial Small posted a Mean Deviation of 2.11 and a Standard Deviation of 7.80 for the reported period.
Predicted Return Density |
| Returns |
What Drives MESIROW FINANCIAL's Price Volatility?
Several factors can influence MESIROW FINANCIAL's market volatility:Industry Dynamics
Sector-level events can directly affect MESIROW FINANCIAL's price stability. Regulatory changes, supply disruptions, or shifts in demand within MESIROW FINANCIAL'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 MESIROW FINANCIAL.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for MESIROW FINANCIAL's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward MESIROW FINANCIAL. During periods of economic expansion, MESIROW FINANCIAL's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.MESIROW FINANCIAL's Company-Specific Factors
Volatility can also stem from events unique to MESIROW FINANCIAL. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in MESIROW FINANCIAL's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on MESIROW FINANCIAL's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of MESIROW FINANCIAL is -921.09. The daily returns are distributed with a variance of 1.16 and standard deviation of 1.08. The mean deviation of Mesirow Financial Small is currently at 0.85. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.9837 | |
β | Beta against Dow Jones | 0.79 | |
σ | Overall volatility | 1.08 | |
Ir | Information ratio | -0.1235 |
Mutual Fund Return Volatility
MESIROW FINANCIAL historical daily return volatility represents how much of MESIROW FINANCIAL fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 1.0791% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8248% on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
Risk-Adjusted Indicators
There is a big difference between MESIROW Mutual Fund performing well and MESIROW FINANCIAL Mutual Fund doing well as a business compared to the competition. Risk-adjusted metrics allow investors to compare MESIROW FINANCIAL'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ANAZX | 0.14 | -0.02 | 0.00 | -0.35 | 0.00 | 0.29 | 0.86 | |||
| GMADX | 0.65 | 0.10 | 0.11 | 0.02 | 1.01 | 1.11 | 4.68 | |||
| LVOLX | 0.71 | 0.05 | 0.09 | 0.53 | 1.42 | 1.20 | 11.15 | |||
| GLBIX | 0.47 | 0.11 | 0.22 | 0.10 | 0.61 | 0.95 | 3.54 | |||
| QLMYIX | 0.10 | 0.01 | 0.49 | 0.00 | 0.06 | 0.16 | 0.80 | |||
| DOXLX | 0.20 | 0.00 | 0.00 | -0.13 | 0.00 | 0.27 | 1.05 | |||
| APDPX | 0.15 | 0.05 | 0.62 | -0.88 | 0.00 | 0.37 | 0.99 |
Risk Metrics, Assumptions & Methodology
Volatility for MESIROW FINANCIAL reflects NAV dispersion and exposure stability across disclosure periods. Range expansion increases sensitivity to market stress conditions.
Inputs for Mesirow Financial Small 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 DirectorsMESIROW FINANCIAL Investment Opportunity
Recent data suggests that Mesirow Financial Small is meaningfully more volatile than Dow Jones Industrial, by roughly a 1.32x factor. Across the current 90-day horizon, that places the security below 9% of the broader equity and portfolio universe on a pure volatility basis.You can use Mesirow Financial Small 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 somewhat bearish sentiment, but the market may correct it shortly. Check odds of MESIROW FINANCIAL to be traded at $4.61 in 90 days.Good diversification
Across the chosen horizon, MSVIX and DJI show a correlation of -0.03 and fall into the Good diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
MESIROW FINANCIAL Additional Risk Indicators
Risk analysis around Mesirow Financial Small becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. The stronger process compares similar securities with comparable growth and valuation context before ranking one as more or less risky.
| Risk Adjusted Performance | -0.1 | |||
| Market Risk Adjusted Performance | -1.33 | |||
| Mean Deviation | 2.11 | |||
| Coefficient Of Variation | -741.75 | |||
| Standard Deviation | 7.8 | |||
| Variance | 60.84 | |||
| Information Ratio | -0.12 |
MESIROW FINANCIAL Suggested Diversification Pairs
A pair strategy built around Mesirow Financial Small is useful when investors want to reduce directional market exposure while still expressing a relative-value idea. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
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 MESIROW FINANCIAL 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. MESIROW FINANCIAL'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, MESIROW FINANCIAL'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 Mesirow Financial Small.