Saat Defensive Strategy Fund Volatility
| SEDIX Fund | USD 9.63 -0.01 -0.10% |
Recent trading patterns suggest Saat Defensive Strategy maintains a minimal volatility profile. The current Sharpe Ratio (Efficiency) for Saat Defensive Strategy is 0.12, showing reward per unit of risk over the last 3 months. There are 26 technical indicators affecting the current volatility pattern.
Sharpe Ratio = 0.1221
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| Negative Returns | SEDIX |
Saat Defensive Strategy's financial profile includes a Market Risk Adjusted Performance of 0.1%, a Risk of 0.11, and a Risk Adjusted Performance of 0.04%. Moving average data indicates SAAT DEFENSIVE is positioned near 9% of its recent return envelope. Risk-adjusted contribution varies depending on portfolio structure.
Key indicators related to SAAT DEFENSIVE's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for SAAT DEFENSIVE draws on both historical price data and forward-looking implied volatility from the options market. Together these measures provide a comprehensive view of SAAT DEFENSIVE's risk profile.
SAAT |
Volatility Strategy
Observed trading dispersion in Saat Defensive Strategy can affect long-term allocation structure. Current statistical measures show total volatility near 0.11% with a beta coefficient of 0.0691, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.12, evaluates return per unit of total risk. An alpha value of 0.009621 reflects performance relative to systematic market exposure. Expected return estimates near 0.0137% 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 SAAT DEFENSIVE's market risk premium analysis include:
Beta 0.0691 | Alpha 0.009621 | Risk 0.11 | Sharpe Ratio 0.12 | Expected Return 0.0137 |
Moving together with SAAT Mutual Fund
| 0.9 | VBIRX | Vanguard Short Term | PairCorr |
| 0.89 | VFSUX | Vanguard Short Term | PairCorr |
| 0.89 | VFSIX | Vanguard Short Term | PairCorr |
| 0.89 | VFSTX | Vanguard Short Term | PairCorr |
| 0.89 | VBITX | Vanguard Short Term | PairCorr |
| 0.89 | VBISX | Vanguard Short Term | PairCorr |
| 0.92 | VSCSX | Vanguard Short Term | PairCorr |
| 0.84 | LALDX | Lord Abbett Short | PairCorr |
| 0.83 | LDLAX | Lord Abbett Short | PairCorr |
| 0.83 | LDLRX | Lord Abbett Short | PairCorr |
| 0.73 | NHS | Neuberger Berman High | PairCorr |
| 0.81 | EMFLX | PIMCO Flexible Emerging | PairCorr |
| 0.89 | PQTNX | PIMCO Trends Managed | PairCorr |
| 0.95 | NMZ | Nuveen Municipal High | PairCorr |
| 0.8 | MRK | Merck Company | PairCorr |
| 0.9 | MCD | McDonalds | PairCorr |
| 0.76 | CVX | Chevron Corp | PairCorr |
| 0.91 | PG | Procter Gamble | PairCorr |
| 0.92 | KO | Coca Cola | PairCorr |
| 0.7 | TRV | The Travelers Companies | PairCorr |
| 0.88 | PFE | Pfizer Inc Aggressive Push | PairCorr |
| 0.88 | DD | Dupont De Nemours | PairCorr |
| 0.91 | JNJ | Johnson Johnson | PairCorr |
Sensitivity To Market
SAAT DEFENSIVE systematic risk exposure is reflected in a beta value of 0.0691. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 0.11%.Over the current lookback period, Saat Defensive Strategy shows a minimal volatility profile, using downside deviation (0.2%) as a primary reference. Liquidity of underlying holdings can influence how smoothly fund values update in fast markets.
3 Months Beta |Analyze Saat Defensive Strategy Demand TrendCheck current 90 days SAAT DEFENSIVE correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation for SAAT 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 | 0.11 |
For SAAT DEFENSIVE 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 SAAT DEFENSIVE's daily returns. Saat Defensive Strategy's financial profile includes a Downside Deviation of 0.20, a Downside Variance of 0.04, and a Maximum Drawdown of 0.52.
Mutual Fund Volatility Analysis
Volatility describes the degree to which SAAT DEFENSIVE mutual fund price fluctuates in either direction. Highly volatile mutual funds like SAAT DEFENSIVE can offer significant profit opportunities, but also come with heightened risk.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Saat Defensive Strategy 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 SAAT DEFENSIVE has a beta of 0.0691 . This usually implies as returns on the market go up, SAAT DEFENSIVE's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Saat Defensive Strategy is expected to be smaller as well.Systematic risk links SAAT DEFENSIVE 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. Saat Defensive Strategy's financial profile includes a Downside Deviation of 0.20, a Mean Deviation of 0.08, and a Standard Deviation of 0.11.
Predicted Return Density |
| Returns |
What Drives SAAT DEFENSIVE's Price Volatility?
Several factors can influence SAAT DEFENSIVE's market volatility:Industry Dynamics
Sector-level events can directly affect SAAT DEFENSIVE's price stability. Regulatory changes, supply disruptions, or shifts in demand within SAAT DEFENSIVE'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 SAAT DEFENSIVE.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for SAAT DEFENSIVE's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward SAAT DEFENSIVE. During periods of economic expansion, SAAT DEFENSIVE's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.SAAT DEFENSIVE's Company-Specific Factors
Volatility can also stem from events unique to SAAT DEFENSIVE. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in SAAT DEFENSIVE's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on SAAT DEFENSIVE's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of SAAT DEFENSIVE is 818.79. The daily returns are distributed with a variance of 0.01 and standard deviation of 0.11. The mean deviation of Saat Defensive Strategy is currently at 0.08. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | 0.01 | |
β | Beta against Dow Jones | 0.07 | |
σ | Overall volatility | 0.11 | |
Ir | Information ratio | 0.79 |
Mutual Fund Return Volatility
SAAT DEFENSIVE historical daily return volatility represents how much of SAAT DEFENSIVE fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.1125% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8201% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Risk-Adjusted Indicators
There is a big difference between SAAT Mutual Fund performing well and SAAT DEFENSIVE Mutual Fund doing well as a business compared to the competition. Risk-adjusted metrics allow investors to compare SAAT DEFENSIVE'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GMOZX | 0.11 | 0.00 | 0.00 | -0.09 | 0.00 | 0.23 | 0.93 | |||
| CFNLX | 0.08 | 0.00 | 0.33 | 0.02 | 0.09 | 0.21 | 0.84 | |||
| DUTMX | 0.23 | 0.01 | 0.27 | 0.48 | 0.26 | 0.41 | 1.48 | |||
| LTEFX | 0.07 | 0.01 | 0.45 | 0.45 | 0.00 | 0.19 | 0.70 | |||
| LFLCX | 0.17 | -0.01 | 0.00 | 0.65 | 0.00 | 0.32 | 1.29 | |||
| BBINX | 0.08 | 0.01 | 0.41 | 0.38 | 0.00 | 0.19 | 0.76 | |||
| WIIBX | 0.15 | 0.00 | 0.36 | 0.00 | 0.15 | 0.32 | 1.06 | |||
| VWAHX | 0.11 | 0.01 | 0.32 | 0.21 | 0.10 | 0.19 | 1.02 |
Risk Metrics, Assumptions & Methodology
Volatility for SAAT DEFENSIVE reflects NAV dispersion and exposure stability across disclosure periods. Range expansion increases sensitivity to market stress conditions.
Inputs for Saat Defensive Strategy 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 DirectorsSAAT DEFENSIVE Investment Opportunity
Measured over the selected horizon, Dow Jones Industrial carries roughly 7.45 times the return volatility of Saat Defensive Strategy. Investors usually compare this volatility gap with trend durability and valuation before deciding which name better fits the mandate.You can use Saat Defensive Strategy 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 SAAT DEFENSIVE to be traded at $9.53 in 90 days.Average diversification
The correlation between SEDIX and DJI is 0.11, which Macroaxis classifies as Average diversification for the selected horizon. The cleaner interpretation is to review correlation beside volatility, expected return, and the role each holding plays in the portfolio.
SAAT DEFENSIVE Additional Risk Indicators
A broader risk-indicator set for Saat Defensive Strategy can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. The stronger process compares similar securities with comparable growth and valuation context before ranking one as more or less risky.
| Risk Adjusted Performance | 0.0365 | |||
| Market Risk Adjusted Performance | 0.0642 | |||
| Mean Deviation | 0.0811 | |||
| Downside Deviation | 0.204 | |||
| Coefficient Of Variation | 818.79 | |||
| Standard Deviation | 0.1125 | |||
| Variance | 0.0127 |
SAAT DEFENSIVE Suggested Diversification Pairs
Pair trading with SAAT DEFENSIVE 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 SAAT DEFENSIVE 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. SAAT DEFENSIVE'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, SAAT DEFENSIVE'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 Saat Defensive Strategy.