Oberweis Mutual Fund Volatility

OBSOX
 Fund
  

USD 19.65  0.45  2.34%   

Oberweis Small-Cap appears to be moderately volatile, given 3 months investment horizon. Oberweis Small-Cap maintains Sharpe Ratio (i.e., Efficiency) of 0.12, which implies the entity had 0.12% 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-six technical indicators for Oberweis Small-Cap, which you can use to evaluate the future volatility of the fund. Please evaluate Oberweis Small-Cap's Risk Adjusted Performance of 0.0296, semi deviation of 2.34, and Coefficient Of Variation of 4963.31 to confirm if our risk estimates are consistent with your expectations.
  
Oberweis Small-Cap 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 Oberweis daily returns, and it is calculated using variance and standard deviation. We also use Oberweis's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Oberweis Small-Cap volatility.

30 Days Market Risk

Moderately volatile

Chance of Distress

30 Days Economic Sensitivity

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

0.87VSGAXVanguard Small-Cap GrowthPairCorr
0.87VISGXVanguard Index TrustPairCorr
0.87VSGIXVanguard Small-Cap GrowthPairCorr
0.89VEXRXVanguard ExplorerPairCorr
0.89VEXPXVanguard ExplorerPairCorr
0.95JATTXJanus Henderson TritonPairCorr
0.95JGMAXJanus Henderson TritonPairCorr

Oberweis Small-Cap Market Sensitivity And Downside Risk

Oberweis Small-Cap's beta coefficient measures the volatility of Oberweis 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 Oberweis mutual fund's returns against your selected market. In other words, Oberweis Small-Cap's beta of 0.2 provides an investor with an approximation of how much risk Oberweis Small-Cap mutual fund can potentially add to one of your existing portfolios.
Oberweis Small-Cap Opportunities currently demonstrates below-average downside deviation. It has Information Ratio of 0.02 and Jensen Alpha of 0.04. However, we advise investors to further question Oberweis Small-Cap Opportunities expected returns to ensure all indicators are consistent with the current outlook about its relatively low value at risk. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Oberweis Small-Cap'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 Oberweis Small-Cap'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.

Oberweis Small-Cap Implied Volatility

Oberweis Small-Cap's implied volatility exposes the market's sentiment of Oberweis Small-Cap Opportunities stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Oberweis Small-Cap'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 Oberweis Small-Cap stock will not fluctuate a lot when Oberweis Small-Cap's options are near their expiration.
3 Months Beta |Analyze Oberweis Small-Cap Demand Trend
Check current 90 days Oberweis Small-Cap correlation with market (DOW)

Oberweis Beta

    
  0.2  
Oberweis 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

    
  2.08  
It is essential to understand the difference between upside risk (as represented by Oberweis Small-Cap's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Oberweis Small-Cap stock's daily returns or price. Since the actual investment returns on holding a position in Oberweis Small-Cap 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 Oberweis Small-Cap.

Oberweis Small-Cap Mutual Fund Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Oberweis Small-Cap's fluctuations based on previous trends. It's commonly used to predict Oberweis Small-Cap's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Oberweis Small-Cap's current market price. This means that the stock 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. Oberweis Small-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.
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Oberweis Small-Cap Projected Return Density Against Market

Assuming the 90 days horizon Oberweis Small-Cap has a beta of 0.1956 . This indicates as returns on the market go up, Oberweis Small-Cap average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Oberweis Small-Cap Opportunities 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 Oberweis Small-Cap or Oberweis 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 Oberweis Small-Cap 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 Oberweis 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 0.0373, implying that it can generate a 0.0373 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Oberweis Small-Cap's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Oberweis Small-Cap 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 a Company's Stock Price Volatility?

Several factors can influence a company'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.

Oberweis Small-Cap 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 Oberweis Small-Cap or Oberweis 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 Oberweis Small-Cap 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 Oberweis 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 Oberweis Small-Cap is 832.78. The daily returns are distributed with a variance of 4.32 and standard deviation of 2.08. The mean deviation of Oberweis Small-Cap Opportunities is currently at 1.54. For similar time horizon, the selected benchmark (DOW) has volatility of 1.25
α
Alpha over DOW
0.0373
β
Beta against DOW0.20
σ
Overall volatility
2.08
Ir
Information ratio 0.0213

Oberweis Small-Cap Mutual Fund Return Volatility

Oberweis Small-Cap historical daily return volatility represents how much Oberweis Small-Cap 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 2.0778% volatility of returns over 90 . By contrast, DOW inherits 1.2745% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Oberweis Small-Cap Volatility

Volatility is a rate at which the price of Oberweis Small-Cap 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 Oberweis Small-Cap may increase or decrease. In other words, similar to Oberweis's beta indicator, it measures the risk of Oberweis Small-Cap and helps estimate the fluctuations that may happen in a short period of time. So if prices of Oberweis Small-Cap 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 normally at least 80 percent of its net assets in the securities of small-cap companies. Its investment adviser considers small-cap companies as those, at the time of initial investment, with a market capitalization of less than 5 billion or with a market capitalization within the range of the holdings of the Russell 2000 Index. The fund invests principally in the common stocks of companies that the adviser believes have the potential for significant long-term growth in market value. It invests in those companies which the adviser considers to have above-average long-term growth potential.

Oberweis Small-Cap Investment Opportunity

Oberweis Small-Cap Opportunities has a volatility of 2.08 and is 1.64 times more volatile than DOW. 18  of all equities and portfolios are less risky than Oberweis Small-Cap. Compared to the overall equity markets, volatility of historical daily returns of Oberweis Small-Cap Opportunities is lower than 18 () of all global equities and portfolios over the last 90 days.
Use Oberweis Small-Cap Opportunities to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The mutual fund experiences an unexpected upward trend. Watch out for market signals. Check odds of Oberweis Small-Cap to be traded at $23.58 in 90 days. .

Average diversification

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

Oberweis Small-Cap Additional Risk Indicators

The analysis of Oberweis Small-Cap'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 Oberweis Small-Cap's investment and either accepting that risk or mitigating it. Along with some common measures of Oberweis Small-Cap 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 Performance0.0296
Market Risk Adjusted Performance0.188
Mean Deviation1.67
Semi Deviation2.34
Downside Deviation2.43
Coefficient Of Variation4963.31
Standard Deviation2.22
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.

Oberweis Small-Cap 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 Oberweis Small-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. Oberweis Small-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, Oberweis Small-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 Oberweis Small-Cap Opportunities.
Please check Your Equity Center. Note that the Oberweis Small-Cap information on this page should be used as a complementary analysis to other Oberweis Small-Cap'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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.

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