Tax Free Conservative Income Fund Volatility
| TFCAX Fund | USD 10.00 0.00 0.00% |
At this stage we consider Tax-free Mutual Fund to be very steady. Tax Free Conservative owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.18, which indicates the fund had a 0.18 % return per unit of risk over the last 3 months. We have found sixteen technical indicators for Tax Free Conservative Income, which you can use to evaluate the volatility of the fund. Please validate Tax-free Conservative's Variance of 0.0012, risk adjusted performance of (0.07), and Coefficient Of Variation of 570.02 to confirm if the risk estimate we provide is consistent with the expected return of 0.0064%.
Sharpe Ratio = 0.1796
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| TFCAX |
Based on monthly moving average Tax-free Conservative is performing at about 14% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Tax-free Conservative by adding it to a well-diversified portfolio.
Key indicators related to Tax-free Conservative's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Tax-free Conservative Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Tax-free daily returns, and it is calculated using variance and standard deviation. We also use Tax-free's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Tax-free Conservative volatility.
Tax-free |
Downward market volatility can be a perfect environment for investors who play the long game with Tax-free Conservative. They may decide to buy additional shares of Tax-free Conservative at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Tax-free Mutual Fund
| 0.71 | SRWAX | Saat Market Growth | PairCorr |
| 0.66 | SSGAX | Saat Aggressive Strategy | PairCorr |
| 0.65 | SASDX | Saat Aggressive Strategy | PairCorr |
| 1.0 | TFCYX | Tax Free Conservative | PairCorr |
| 0.65 | SSPIX | Simt Sp 500 | PairCorr |
| 0.78 | SBDAX | Stet California Municipal | PairCorr |
| 0.71 | STLYX | Simt Tax Managed | PairCorr |
| 0.64 | STMSX | Simt Tax Managed | PairCorr |
| 0.67 | STVYX | Simt Tax Managed | PairCorr |
| 0.7 | SCMSX | Saat E Market | PairCorr |
| 0.63 | SCLAX | Simt Multi Asset | PairCorr |
| 0.63 | SCPAX | Siit Large Cap | PairCorr |
| 0.77 | SCYYX | Stet California Municipal | PairCorr |
| 0.94 | SUMAX | Stet Short Duration | PairCorr |
Moving against Tax-free Mutual Fund
Tax-free Conservative Market Sensitivity And Downside Risk
Tax-free Conservative's beta coefficient measures the volatility of Tax-free mutual fund compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Tax-free mutual fund's returns against your selected market. In other words, Tax-free Conservative's beta of 0.0028 provides an investor with an approximation of how much risk Tax-free Conservative mutual fund can potentially add to one of your existing portfolios. Tax Free Conservative Income exhibits very low volatility with skewness of 5.61 and kurtosis of 30.37. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Tax-free Conservative's mutual fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Tax-free Conservative's mutual fund price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
| α | -0.0042 | β | 0 | Check current 90 days Tax-free Conservative correlation with market (Dow Jones Industrial)
Tax-free Conservative Volatility and Downside Risk
Tax-free standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Tax Free Conservative Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Tax-free Conservative fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Tax-free Conservative's price changes. Investors will then calculate the volatility of Tax-free Conservative's mutual fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A mutual fund with relatively stable price changes has low volatility. A highly volatile fund is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Tax-free Conservative's volatility:
Historical Volatility
This type of fund volatility measures Tax-free Conservative's fluctuations based on previous trends. It's commonly used to predict Tax-free Conservative's future behavior based on its past. However, it cannot conclusively determine the future direction of the mutual fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Tax-free Conservative's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Tax-free Conservative's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Tax Free Conservative 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.
Tax-free Conservative Projected Return Density Against Market
Assuming the 90 days horizon Tax-free Conservative has a beta of 0.0028 . This usually implies as returns on the market go up, Tax-free Conservative average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Tax Free Conservative Income will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Tax-free Conservative or SEI sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Tax-free Conservative's price will be affected by overall mutual fund market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Tax-free fund's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Tax Free Conservative Income has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives a Tax-free Conservative 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 many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Tax-free Conservative Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Tax-free Conservative is 556.7. The daily returns are distributed with a variance of 0.0 and standard deviation of 0.04. The mean deviation of Tax Free Conservative Income is currently at 0.01. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α | Alpha over Dow Jones | -0.0042 | |
β | Beta against Dow Jones | 0 | |
σ | Overall volatility | 0.04 | |
Ir | Information ratio | -2.55 |
Tax-free Conservative Mutual Fund Return Volatility
Tax-free Conservative historical daily return volatility represents how much of Tax-free Conservative fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 0.0355% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.6973% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
Risk-Adjusted Indicators
There is a big difference between Tax-free Mutual Fund performing well and Tax-free Conservative 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 Tax-free Conservative'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TFBIX | 0.07 | 0.02 | (0.43) | (0.78) | 0.00 | 0.20 | 0.60 | |||
| PRINX | 0.07 | 0.01 | (0.45) | (1.39) | 0.00 | 0.18 | 0.71 | |||
| 0P000070L2 | 0.03 | 0.01 | 0.00 | (0.47) | 0.00 | 0.00 | 0.40 | |||
| PTRMX | 0.08 | 0.03 | (0.52) | (3.54) | 0.00 | 0.18 | 0.49 | |||
| PATFX | 0.09 | 0.02 | (0.46) | (1.65) | 0.00 | 0.27 | 0.72 | |||
| MDMTX | 0.08 | 0.01 | (0.46) | 1.55 | 0.00 | 0.19 | 0.86 | |||
| BBINX | 0.06 | 0.01 | (0.58) | 1.44 | 0.00 | 0.19 | 0.48 |
About Tax-free Conservative Volatility
Volatility is a rate at which the price of Tax-free Conservative or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Tax-free Conservative may increase or decrease. In other words, similar to Tax-free's beta indicator, it measures the risk of Tax-free Conservative and helps estimate the fluctuations that may happen in a short period of time. So if prices of Tax-free Conservative fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.Under normal circumstances, the fund will invest at least 80 percent of its net assets in U.S. dollar-denominated municipal securities that the funds sub-adviser believes present minimal credit risks to the fund and that pay interest that is exempt from federal income taxes and is not taxable under the federal alternative minimum tax applicable to individuals.
Tax-free Conservative's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Tax-free Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Tax-free Conservative's price varies over time.
3 ways to utilize Tax-free Conservative's volatility to invest better
Higher Tax-free Conservative's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Tax Free Conservative fund is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Tax Free Conservative fund volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Tax Free Conservative investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Tax-free Conservative's fund can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Tax-free Conservative's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Tax-free Conservative Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.7 and is 17.5 times more volatile than Tax Free Conservative Income. 0 percent of all equities and portfolios are less risky than Tax-free Conservative. You can use Tax Free Conservative Income to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Tax-free Conservative to be traded at $9.9 in 90 days.Significant diversification
The correlation between Tax Free Conservative Income and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tax Free Conservative Income and DJI in the same portfolio, assuming nothing else is changed.
Tax-free Conservative Additional Risk Indicators
The analysis of Tax-free Conservative's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Tax-free Conservative's investment and either accepting that risk or mitigating it. Along with some common measures of Tax-free Conservative mutual fund's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | (0.07) | |||
| Market Risk Adjusted Performance | (1.39) | |||
| Mean Deviation | 0.0118 | |||
| Coefficient Of Variation | 570.02 | |||
| Standard Deviation | 0.0347 | |||
| Variance | 0.0012 | |||
| Information Ratio | (2.55) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential mutual funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Tax-free Conservative Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
| Visa vs. Tax-free Conservative | ||
| Alphabet vs. Tax-free Conservative | ||
| Citigroup vs. Tax-free Conservative | ||
| GM vs. Tax-free Conservative | ||
| Microsoft vs. Tax-free Conservative | ||
| Ford vs. Tax-free Conservative | ||
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 Tax-free Conservative 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. Tax-free Conservative'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, Tax-free Conservative'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 Tax Free Conservative Income.
Other Information on Investing in Tax-free Mutual Fund
Tax-free Conservative financial ratios help investors to determine whether Tax-free Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Tax-free with respect to the benefits of owning Tax-free Conservative security.
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