Picton Credit Opportunities Fund Volatility
| PFCO Fund | 9.65 0.05 0.52% |
As of now, PICTON Fund is very steady. PICTON Credit Opport retains Efficiency (Sharpe Ratio) of 0.14, which implies the entity had a 0.14 % return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for PICTON Credit, which you can use to evaluate the volatility of the fund. Please check PICTON Credit's semi deviation of 0.2009, and Market Risk Adjusted Performance of 17.26 to confirm if the risk estimate we provide is consistent with the expected return of 0.0517%.
PICTON |
PICTON Credit 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 PICTON daily returns, and it is calculated using variance and standard deviation. We also use PICTON's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of PICTON Credit volatility.
Downward market volatility can be a perfect environment for investors who play the long game with PICTON Credit. They may decide to buy additional shares of PICTON Credit at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with PICTON Fund
| 0.89 | 0P0000706A | RBC Select Balanced | PairCorr |
| 0.9 | 0P00007069 | RBC Portefeuille | PairCorr |
| 0.85 | 0P0000IUYO | Edgepoint Global Por | PairCorr |
| 0.86 | 0P0001FAU8 | TD Comfort Balanced | PairCorr |
| 0.87 | 0P00012UCU | RBC Global Equity | PairCorr |
PICTON Credit Market Sensitivity And Downside Risk
PICTON Credit's beta coefficient measures the volatility of PICTON 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 PICTON fund's returns against your selected market. In other words, PICTON Credit's beta of 0.0028 provides an investor with an approximation of how much risk PICTON Credit fund can potentially add to one of your existing portfolios. PICTON Credit Opportunities exhibits very low volatility with skewness of 0.08 and kurtosis of 0.31. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure PICTON Credit's fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact PICTON Credit's 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.
3 Months Beta |Analyze PICTON Credit Opport Demand TrendCheck current 90 days PICTON Credit correlation with market (Dow Jones Industrial)PICTON Beta |
PICTON 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.
Standard Deviation | 0.37 |
It is essential to understand the difference between upside risk (as represented by PICTON Credit's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of PICTON Credit's daily returns or price. Since the actual investment returns on holding a position in picton 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 PICTON Credit.
PICTON Credit Opport Fund Volatility Analysis
Volatility refers to the frequency at which PICTON Credit fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with PICTON Credit's price changes. Investors will then calculate the volatility of PICTON Credit's fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A 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 PICTON Credit's volatility:
Historical Volatility
This type of fund volatility measures PICTON Credit's fluctuations based on previous trends. It's commonly used to predict PICTON Credit's future behavior based on its past. However, it cannot conclusively determine the future direction of the fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for PICTON Credit'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 PICTON Credit'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. PICTON Credit Opport 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.
PICTON Credit Projected Return Density Against Market
Assuming the 90 days trading horizon PICTON Credit has a beta of 0.0028 indicating as returns on the market go up, PICTON Credit average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding PICTON Credit 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 PICTON Credit or Commodities Funds 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 PICTON Credit's price will be affected by overall 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 PICTON 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.
PICTON Credit Opportunities has an alpha of 0.0479, implying that it can generate a 0.0479 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a PICTON Credit 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.PICTON Credit Fund Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of PICTON Credit is 712.44. The daily returns are distributed with a variance of 0.14 and standard deviation of 0.37. The mean deviation of PICTON Credit Opportunities is currently at 0.27. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.93
α | Alpha over Dow Jones | 0.05 | |
β | Beta against Dow Jones | 0 | |
σ | Overall volatility | 0.37 | |
Ir | Information ratio | -0.22 |
PICTON Credit Fund Return Volatility
PICTON Credit historical daily return volatility represents how much of PICTON Credit fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund accepts 0.3683% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.8352% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
PICTON Credit Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.84 and is 2.27 times more volatile than PICTON Credit Opportunities. 3 percent of all equities and portfolios are less risky than PICTON Credit. You can use PICTON Credit Opportunities to enhance the returns of your portfolios. The fund experiences a moderate upward volatility. Check odds of PICTON Credit to be traded at 10.62 in 90 days.Significant diversification
The correlation between PICTON Credit Opportunities and DJI is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding PICTON Credit Opportunities and DJI in the same portfolio, assuming nothing else is changed.
PICTON Credit Additional Risk Indicators
The analysis of PICTON Credit'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 PICTON Credit's investment and either accepting that risk or mitigating it. Along with some common measures of PICTON Credit 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 | 0.1315 | |||
| Market Risk Adjusted Performance | 17.26 | |||
| Mean Deviation | 0.2787 | |||
| Semi Deviation | 0.2009 | |||
| Downside Deviation | 0.4031 | |||
| Coefficient Of Variation | 637.1 | |||
| Standard Deviation | 0.3714 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
PICTON Credit 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.
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 PICTON Credit 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. PICTON Credit'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, PICTON Credit'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 PICTON Credit Opportunities.
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