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This chart shows Volatility for ACM Income Fund, defined to be the price range as a portion of the average price: For instance, on 3/17/2010 the average price was 8.09 with a range of 0.04, indicating a Daily Volatility of 0.4%. The Daily Volatility is obtained by dividing the daily range by the daily average. A longer Volatility period such as Weekly Volatility is obtained by dividing the weekly price range by the weekly mean price. This is a different concept from the weekly average of daily volatility. For reference, the price is plotted in red. The remaining marks on the plot correspond to the Volatility measured across several time intervals. According to academic theory, Volatility is exactly equal to Risk. But investors often make a distinction between these two concepts. The different character of Volatility as seen in different time frames, lends some support to the investor's view. During 23 years, the Average Quarterly Volatility of ACG stock price has been 11% while the Average Daily Volatility has been 1%. |
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You may be familiar with the "yield curve" which shows how interest bearing yields vary according to term. Each Volatility Curve is a snapshot in time. As the timespan across which Volatility is measured increases, the Volatility is expected to increase. However, as seen in this plot of the ACG Volatility Curve, the increase is not constant. |
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A frequency distribution of the green points on the first chart (the daily volatility) yields this histogram. |
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In a similar vein, the Frequency Distribution of the Quarterly Volatility is plotted here. This is the distribution of the values plotted in purple on the top chart from this page. |
Refined Volatility Risk Analysis for ACG : |
| Wednesday, March 17, 2010: We have news on Procter and Gamble, ticker symbol PG. A significant moving average event has happened. Also, there are breaking events concerning Walmart and ACM Income Fund. From the News Archive: (3/17/2010 ) Bad news came from CIGNA Corporation, Prudential Financial, Inc., Patterson Companies, Inc., and General Electric. |