TIAA Cref Large Cap Value Fund Volatility
| TRCPX Fund | USD 24.45 -0.02 -0.08% |
The latest read on TIAA Cref Large Cap Value points to a very low volatility profile over the designated window. TIAA Cref Large Cap Value continues to report a Sharpe Ratio (Efficiency) of 0.15, pointing to consistent risk-adjusted returns over the last 3 months. Current volatility conditions are reflected in 27 technical indicators.
Sharpe Ratio = 0.146
| High Returns | Best Equity | |||
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| Small Returns | TRCPX | |||
| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
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TIAA Cref Large Cap Value (TRCPX) recorded a Market Risk Adjusted Performance of 0.2%, a Risk of 1.12, and a Risk Adjusted Performance of 0.1%. Trend analysis shows TIAA-CREF LARGE-CAP trading at roughly 11% of its established return corridor. Diversification changes its relative contribution to total variance.
Key indicators related to TIAA-CREF LARGE-CAP's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
The volatility of TIAA-CREF LARGE-CAP is a critical input for portfolio construction. Assets with low correlation and moderate volatility - like TIAA-CREF LARGE-CAP in certain environments - can improve a portfolio's risk-adjusted return by adding diversification without excessive TIAA-CREF LARGE-CAP's price.
TIAA-CREF |
TIAA-CREF LARGE-CAP Volatility Strategy
TIAA Cref Large Cap Value dispersion metrics describe how it interacts with cross-asset exposure. Current statistical measures show total volatility near 1.12% with a beta coefficient of 0.69, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.15, evaluates return per unit of total risk. An alpha value of 0.17 reflects performance relative to systematic market exposure. Expected return estimates near 0.16% 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 TIAA-CREF LARGE-CAP's market risk premium analysis include:
Beta 0.69 | Alpha 0.17 | Risk 1.12 | Sharpe Ratio 0.15 | Expected Return 0.16 |
Moving together with TIAA-CREF Mutual Fund
| 0.86 | TEDNX | TIAA Cref Emerging | PairCorr |
| 0.85 | TEDLX | TIAA Cref Emerging | PairCorr |
| 0.87 | TEDHX | TIAA Cref Emerging | PairCorr |
| 0.87 | TEDVX | TIAA Cref Emerging | PairCorr |
| 0.88 | TEDTX | TIAA Cref Emerging | PairCorr |
| 0.87 | TEDPX | TIAA Cref Emerging | PairCorr |
| 0.66 | TEIHX | TIAA Cref Equity | PairCorr |
| 0.84 | TEMLX | TIAA Cref Emerging | PairCorr |
| 0.84 | TEMHX | TIAA Cref Emerging | PairCorr |
| 0.84 | TEMVX | TIAA Cref Emerging | PairCorr |
| 0.84 | TEMSX | TIAA Cref Emerging | PairCorr |
| 0.84 | TEMPX | TIAA Cref Emerging | PairCorr |
| 0.83 | TENWX | TIAA Cref Emerging | PairCorr |
| 0.82 | TEQKX | TIAA Cref Emerging | PairCorr |
| 0.83 | TEQHX | TIAA Cref Emerging | PairCorr |
| 0.66 | TEQWX | TIAA Cref Equity | PairCorr |
| 0.83 | TEQSX | TIAA Cref Emerging | PairCorr |
| 0.83 | TEQPX | TIAA Cref Emerging | PairCorr |
| 0.79 | TESHX | TIAA Cref Short | PairCorr |
| 0.84 | TFITX | TIAA Cref Lifecycle | PairCorr |
| 0.84 | TFIRX | TIAA Cref Lifecycle | PairCorr |
| 0.84 | TFIHX | TIAA Cref Lifecycle | PairCorr |
| 0.88 | TFTIX | TIAA Cref Lifecycle | PairCorr |
| 0.88 | TFTHX | TIAA Cref Lifecycle | PairCorr |
| 0.81 | TGIWX | TIAA Cref Growth | PairCorr |
| 0.71 | TGRNX | TIAA Cref Green | PairCorr |
| 0.66 | TGROX | TIAA Cref Green | PairCorr |
| 0.7 | TGRLX | TIAA Cref Green | PairCorr |
| 0.69 | TGRMX | TIAA Cref Green | PairCorr |
| 0.98 | THCVX | TIAA-CREF LARGE-CAP | PairCorr |
TIAA-CREF LARGE-CAP Sensitivity To Market
TIAA-CREF LARGE-CAP'sTIAA Cref Large Cap Value beta coefficient, currently 0.69, measures relative volatility compared to the broader market index. It is calculated using regression slope methodology. Total risk is approximately 1.12%.TIAA Cref Large Cap Value has displayed return variability that can be compared across instruments using standard deviation (1.09%). Fund volatility can shift after rebalancing or changes in the underlying allocation bands.
3 Months Beta |Analyze TIAA-CREF LARGE-CAP Demand TrendCheck current 90 days TIAA-CREF LARGE-CAP correlation with market (Dow Jones Industrial)TIAA-CREF LARGE-CAP Downside Risk
Standard deviation for TIAA-CREF provides a statistical measure of daily price variability relative to the mean over a chosen period. High values mean high volatility; low values mean stability.
Standard Deviation | 1.12 |
Investors analyzing TIAA-CREF LARGE-CAP should consider both total and downside risk. Standard deviation measures total price dispersion, while semi-deviation and downside deviation focus on the loss risk embedded in TIAA-CREF LARGE-CAP's returns. TIAA Cref Large Cap Value (TRCPX) recorded a Downside Deviation of 0.74, a Downside Variance of 0.55, and a Maximum Drawdown of 8.54.
TIAA-CREF LARGE-CAP Mutual Fund Volatility Analysis
For traders and investors in TIAA-CREF LARGE-CAP, volatility is both a risk factor and a source of opportunity. Sudden spikes in TIAA-CREF LARGE-CAP's mutual fund volatility can lead to rapid gains or steep losses. Long-term investors in TIAA-CREF LARGE-CAP often use volatility as a signal to accumulate or trim.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. TIAA-CREF LARGE-CAP 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.
TIAA-CREF LARGE-CAP Projected Return Density Against Market
Assuming a 90-day horizon TIAA-CREF LARGE-CAP has a beta of 0.69 . This usually implies as returns on the market go up, TIAA-CREF LARGE-CAP's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding TIAA Cref Large Cap Value is expected to be smaller as well.The risk profile of TIAA-CREF LARGE-CAP includes exposure to market fluctuations and company or sector-specific developments. Systematic components persist despite diversification. TIAA Cref Large Cap Value (TRCPX) recorded a Downside Deviation of 0.74, a Mean Deviation of 0.62, and a Semi Deviation of 0.46.
Predicted Return Density |
| Returns |
What Drives a TIAA-CREF LARGE-CAP 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 investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.TIAA-CREF LARGE-CAP Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of TIAA-CREF LARGE-CAP is 685.15. The daily returns are distributed with a variance of 1.26 and standard deviation of 1.12. The mean deviation of TIAA Cref Large Cap Value is currently at 0.62. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.17 | |
β | Beta against Dow Jones | 0.69 | |
σ | Overall volatility | 1.12 | |
Ir | Information ratio | 0.16 |
TIAA-CREF LARGE-CAP Mutual Fund Return Volatility
TIAA-CREF LARGE-CAP historical daily return volatility represents how much of TIAA-CREF LARGE-CAP fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 1.1231% volatility of returns over 90 trading days. By contrast, Dow Jones Industrial accepts 0.7694% volatility on return distribution over a 90-day horizon. Performance |
| Timeline |
Related Correlations Analysis
| 0.66 | 0.64 | 0.85 | 0.66 | 0.58 | ANORX | ||
| 0.66 | 0.33 | 0.53 | 0.84 | 0.69 | PRSGX | ||
| 0.64 | 0.33 | 0.78 | 0.46 | 0.7 | EIPIX | ||
| 0.85 | 0.53 | 0.78 | 0.52 | 0.57 | UIGIX | ||
| 0.66 | 0.84 | 0.46 | 0.52 | 0.76 | BMDSX | ||
| 0.58 | 0.69 | 0.7 | 0.57 | 0.76 | CMIDX | ||
Risk-Adjusted Indicators
There is a big difference between TIAA-CREF Mutual Fund performing well and TIAA-CREF LARGE-CAP 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 TIAA-CREF LARGE-CAP'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ANORX | 1.01 | 0.13 | 0.11 | 0.11 | 1.02 | 1.63 | 11.81 | |||
| PRSGX | 0.54 | -0.01 | 0.00 | -0.02 | 0.00 | 0.90 | 3.67 | |||
| EIPIX | 0.77 | 0.41 | 0.74 | -18.04 | 0.00 | 1.44 | 15.53 | |||
| UIGIX | 0.56 | 0.13 | 0.20 | 0.20 | 0.45 | 0.90 | 8.57 | |||
| BMDSX | 0.79 | -0.01 | 0.00 | -0.02 | 0.00 | 1.41 | 4.95 | |||
| CMIDX | 0.92 | 0.04 | 0.03 | 0.02 | 1.04 | 1.50 | 6.03 |
About TIAA-CREF LARGE-CAP Volatility Analysis
Volatility for TIAA-CREF LARGE-CAP reflects NAV dispersion and exposure stability across disclosure periods. Dispersion trends provide context for structural risk posture.
Unless otherwise specified, financial data for TIAA Cref Large Cap Value is derived from periodic company reporting (annual and quarterly where available). Asset-level metrics are computed daily by Macroaxis LLC and refreshed regularly based on asset type. Updates may occur throughout the day.
TIAA-CREF LARGE-CAP Investment Opportunity
Measured over the selected horizon, TIAA Cref Large Cap Value carries roughly 1.45 times the return volatility of Dow Jones Industrial. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use TIAA Cref Large Cap Value to protect your portfolios against small market fluctuations. This price-change note interprets the latest move in the context of short-horizon trading behavior. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a normal downward trend and little activity. Check odds of TIAA-CREF LARGE-CAP to be traded at $24.21 in 90 days.Poor diversification
Across the chosen horizon, TRCPX and DJI show a correlation of 0.73 and fall into the Poor diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
TIAA-CREF LARGE-CAP Additional Risk Indicators
Risk analysis around TIAA Cref Large Cap Value becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.1244 | |||
| Market Risk Adjusted Performance | 0.2446 | |||
| Mean Deviation | 0.6183 | |||
| Semi Deviation | 0.4608 | |||
| Downside Deviation | 0.7411 | |||
| Coefficient Of Variation | 634.26 | |||
| Standard Deviation | 1.09 |
TIAA-CREF LARGE-CAP Suggested Diversification Pairs
Pair trading with TIAA-CREF LARGE-CAP can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. 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 TIAA-CREF LARGE-CAP 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. TIAA-CREF LARGE-CAP'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, TIAA-CREF LARGE-CAP'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 TIAA Cref Large Cap Value.