First Money Market Fund Volatility

FGXXX
 Fund
  

USD 1.98  0.98  98.00%   

First American is extremely dangerous given 3 months investment horizon. First American Government secures Sharpe Ratio (or Efficiency) of 0.13, which denotes the fund had 0.13% of return per unit of risk over the last 3 months. Our standpoint towards predicting the risk of a fund is to use both market data as well as company specific technical data. We have analyzed and interpolated twenty-one different technical indicators, which can help you to evaluate if expected returns of 1.2% are justified by taking the suggested risk. Use First American mean deviation of 3.05, and Coefficient Of Variation of 769.7 to evaluate company specific risk that cannot be diversified away.
  
First American Money Market 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 First daily returns, and it is calculated using variance and standard deviation. We also use First's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of First American volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as First American can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of First American at lower prices. For example, an investor can purchase First stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of First American's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving against First American

0.76PROAXProbabilities Fund ClassPairCorr
0.67FNARXFidelity Select PortfolioPairCorr
0.63CATCaterpillarPairCorr

First American Market Sensitivity And Downside Risk

First American's beta coefficient measures the volatility of First money market fund compared to the systematic risk of the entire stock 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 First money market fund's returns against your selected market. In other words, First American's beta of 1.27 provides an investor with an approximation of how much risk First American money market fund can potentially add to one of your existing portfolios.
First American Government is displaying above-average volatility over the selected time horizon. Investors should scrutinize First American Government independently to ensure intended market timing strategies are aligned with expectations about First American volatility. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure First American's money market fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact First American's money market 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 stocks as prices fall.
3 Months Beta |Analyze First American Government Demand Trend
Check current 90 days First American correlation with market (DOW)

First Beta

    
  1.27  
First standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity 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.

Standard Deviation

    
  9.25  
It is essential to understand the difference between upside risk (as represented by First American's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of First American's daily returns or price. Since the actual investment returns on holding a position in first money market fund tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in First American.

First American Government Money Market Fund Volatility Analysis

Volatility refers to the frequency at which First American fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with First American's price changes. Investors will then calculate the volatility of First American's money market fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A money market 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 First American's volatility:

Historical Volatility

This type of fund volatility measures First American's fluctuations based on previous trends. It's commonly used to predict First American's future behavior based on its past. However, it cannot conclusively determine the future direction of the money market fund.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for First American's current market price. This means that the fund will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. First American Government 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.
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First American Projected Return Density Against Market

Assuming the 90 days horizon the money market fund has the beta coefficient of 1.2657 . This usually indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, First American will likely underperform.
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 First American or First American Government 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 First American's price will be affected by overall money market 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 First 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.
The company has an alpha of 1.0445, implying that it can generate a 1.04 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
First American's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how first money market fund's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a First American Price Volatility?

Several factors can influence a Fund's stock 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.

First American Money Market Fund Risk Measures

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 First American or First American Government 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 First American's price will be affected by overall money market 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 First 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.
Assuming the 90 days horizon the coefficient of variation of First American is 772.01. The daily returns are distributed with a variance of 85.53 and standard deviation of 9.25. The mean deviation of First American Government is currently at 3.26. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
1.04
β
Beta against DOW1.27
σ
Overall volatility
9.25
Ir
Information ratio 0.12

First American Money Market Fund Return Volatility

First American historical daily return volatility represents how much of First American fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 9.2481% volatility of returns over 90 . By contrast, DOW inherits 1.1715% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About First American Volatility

Volatility is a rate at which the price of First American 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 First American may increase or decrease. In other words, similar to First's beta indicator, it measures the risk of First American and helps estimate the fluctuations that may happen in a short period of time. So if prices of First American 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.

First American Investment Opportunity

First American Government has a volatility of 9.25 and is 7.91 times more volatile than DOW. 80  of all equities and portfolios are less risky than First American. Compared to the overall equity markets, volatility of historical daily returns of First American Government is higher than 80 () of all global equities and portfolios over the last 90 days.
Use First American Government to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The money market fund experiences a very speculative upward sentiment. Check odds of First American to be traded at $2.48 in 90 days. .

Average diversification

The correlation between First American Government and DJI is Average diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First American Government and DJI in the same portfolio, assuming nothing else is changed.

First American Additional Risk Indicators

The analysis of First American'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 First American's investment and either accepting that risk or mitigating it. Along with some common measures of First American money market 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 Performance0.1693
Market Risk Adjusted Performance0.9145
Mean Deviation3.05
Coefficient Of Variation769.7
Standard Deviation8.89
Variance79.02
Information Ratio0.1199
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential money market funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

First American 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.
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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 First American 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. First American'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, First American'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 First American Government.
Please check Investing Opportunities. Note that the First American Government information on this page should be used as a complementary analysis to other First American's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..

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When running First American Government price analysis, check to measure First American's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy First American is operating at the current time. Most of First American's value examination focuses on studying past and present price action to predict the probability of First American's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move First American's price. Additionally, you may evaluate how the addition of First American to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between First American's value and its price as these two are different measures arrived at by different means. Investors typically determine First American value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, First American's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.