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Technical Analysis: Power Tools for Active Investors by Gerald Appel

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Risk: Reward Comparisons Between More Volatile and Less Volatile Equity Mutual Fund Portfolios

Chart 1.1 shows the relationships between average percentage gains during rising months for mutual funds of various volatility levels (range of price fluctuations) and the average percentage loss during declining market months, 1983 to 2003. For example, the most volatile segment of the mutual fund universe employed in this study (Group 9) gained just less than 3% during months that the average fund in that group advanced, and incurred an average loss of just less than 2% during months that the average fund in that group declined. As a comparison, funds in Group 1, the least volatile segment of this mutual fund universe, advanced by approximately 1.2% ...

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