Oakmark Mutual Fund Volatility

OAYMX
 Fund
  

USD 110.77  1.77  1.62%   

We consider Oakmark Fund very steady. Oakmark Fund Advisor maintains Sharpe Ratio (i.e., Efficiency) of 0.0443, which implies the entity had 0.0443% of return per unit of risk over the last 3 months. Our standpoint towards forecasting the volatility of a fund is to use all available market data together with fund-specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Oakmark Fund Advisor, which you can use to evaluate the future volatility of the fund. Please check Oakmark Fund Advisor Semi Deviation of 1.72, risk adjusted performance of 0.0914, and Coefficient Of Variation of 1416.84 to confirm if the risk estimate we provide is consistent with the expected return of 0.0783%.
  
Oakmark Fund 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 Oakmark daily returns, and it is calculated using variance and standard deviation. We also use Oakmark's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Oakmark Fund volatility.

690 Days Market Risk

Very steady

Chance of Distress

Very Small

690 Days Economic Sensitivity

Responds to the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Oakmark Fund 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 Oakmark Fund at lower prices. For example, an investor can purchase Oakmark 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 Oakmark Fund'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 together with Oakmark Fund

0.97VIVIXVanguard Index TrustPairCorr
0.96VVIAXVanguard Value IndexPairCorr
0.96VIVAXVanguard Index TrustPairCorr
0.98DODGXDodge Cox StockPairCorr
0.97CMLCXAmerican MutualPairCorr
0.97AMRFXAmerican MutualPairCorr
0.96RMFHXAmerican MutualPairCorr

Oakmark Fund Market Sensitivity And Downside Risk

Oakmark Fund's beta coefficient measures the volatility of Oakmark mutual 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 Oakmark mutual fund's returns against your selected market. In other words, Oakmark Fund's beta of 1.32 provides an investor with an approximation of how much risk Oakmark Fund mutual fund can potentially add to one of your existing portfolios.
Oakmark Fund Advisor has relatively low volatility with skewness of -0.35 and kurtosis of 0.4. However, we advise all investors to independently investigate Oakmark Fund Advisor to ensure all accessible information is consistent with the expectations about its upside potential and future expected returns. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Oakmark Fund's mutual fund risk against market volatility during both bullying and bearish trends. The higher level of volatility that comes with bear markets can directly impact Oakmark Fund'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 stocks as prices fall.

Oakmark Fund Implied Volatility

Oakmark Fund's implied volatility exposes the market's sentiment of Oakmark Fund Advisor stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Oakmark Fund's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Oakmark Fund stock will not fluctuate a lot when Oakmark Fund's options are near their expiration.
3 Months Beta |Analyze Oakmark Fund Advisor Demand Trend
Check current 90 days Oakmark Fund correlation with market (DOW)

Oakmark Beta

    
  1.32  
Oakmark 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

    
  1.77  
It is essential to understand the difference between upside risk (as represented by Oakmark Fund's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Oakmark Fund stock's daily returns or price. Since the actual investment returns on holding a position in Oakmark Fund stock 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 Oakmark Fund.

Oakmark Fund Advisor Mutual Fund Volatility Analysis

Volatility refers to the frequency at which Oakmark Fund fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Oakmark Fund's price changes. Investors will then calculate the volatility of Oakmark Fund'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 Oakmark Fund's volatility:

Historical Volatility

This type of fund volatility measures Oakmark Fund's fluctuations based on previous trends. It's commonly used to predict Oakmark Fund'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 Oakmark Fund'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. Oakmark Fund Advisor 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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Oakmark Fund Projected Return Density Against Market

Assuming the 90 days horizon the mutual fund has the beta coefficient of 1.3239 . This 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, Oakmark Fund 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 Oakmark Fund or Oakmark 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 Oakmark Fund stock's price will be affected by overall stock 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 Oakmark stock'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 0.0217, implying that it can generate a 0.0217 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Oakmark Fund's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Oakmark Fund stock'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 an Oakmark Fund 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.

Oakmark Fund Mutual 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 Oakmark Fund or Oakmark 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 Oakmark Fund stock's price will be affected by overall stock 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 Oakmark stock'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 Oakmark Fund is 2259.64. The daily returns are distributed with a variance of 3.13 and standard deviation of 1.77. The mean deviation of Oakmark Fund Advisor is currently at 1.34. For similar time horizon, the selected benchmark (DOW) has volatility of 1.25
α
Alpha over DOW
0.0217
β
Beta against DOW1.32
σ
Overall volatility
1.77
Ir
Information ratio 0.0251

Oakmark Fund Mutual Fund Return Volatility

Oakmark Fund historical daily return volatility represents how much Oakmark Fund stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 1.7685% volatility of returns over 90 . By contrast, DOW inherits 1.2516% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Oakmark Fund Volatility

Volatility is a rate at which the price of Oakmark Fund 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 Oakmark Fund may increase or decrease. In other words, similar to Oakmark's beta indicator, it measures the risk of Oakmark Fund and helps estimate the fluctuations that may happen in a short period of time. So if prices of Oakmark Fund 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.
The fund invests primarily in a diversified portfolio of common stocks of U.S. companies. It generally invests in the securities of larger capitalization companies. The fund uses a value investment philosophy in selecting equity securities. This value investment philosophy is based upon the belief that, over time, a companys stock price converges with the advisers estimate of the companys intrinsic value.

Oakmark Fund Investment Opportunity

Oakmark Fund Advisor has a volatility of 1.77 and is 1.42 times more volatile than DOW. 15  of all equities and portfolios are less risky than Oakmark Fund. Compared to the overall equity markets, volatility of historical daily returns of Oakmark Fund Advisor is lower than 15 () of all global equities and portfolios over the last 90 days.
Use Oakmark Fund Advisor to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The mutual fund experiences a large bullish trend. Check odds of Oakmark Fund to be traded at $121.85 in 90 days. .

Almost no diversification

The correlation between Oakmark Fund Advisor and DJI is Almost no diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Oakmark Fund Advisor and DJI in the same portfolio, assuming nothing else is changed.

Oakmark Fund Additional Risk Indicators

The analysis of Oakmark Fund'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 Oakmark Fund's investment and either accepting that risk or mitigating it. Along with some common measures of Oakmark Fund stock 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 Performance0.0914
Market Risk Adjusted Performance0.0978
Mean Deviation1.37
Semi Deviation1.72
Downside Deviation1.85
Coefficient Of Variation1416.84
Standard Deviation1.79
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Oakmark Fund 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 Oakmark Fund 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. Oakmark Fund'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, Oakmark Fund'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 Oakmark Fund Advisor.
Please check Your Equity Center. Note that the Oakmark Fund Advisor information on this page should be used as a complementary analysis to other Oakmark Fund'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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.

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Please note, there is a significant difference between Oakmark Fund's value and its price as these two are different measures arrived at by different means. Investors typically determine Oakmark Fund value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Oakmark Fund'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.