BARC GLB (Ireland) Risk Analysis And Volatility Evaluation

11231576 -- Ireland Fund  

GBP 0.92  0.01  1.10%

We consider BARC GLB unknown risk. BARC GLB INF secures Sharpe Ratio (or Efficiency) of 0.0031 which signifies that BARC GLB INF had 0.0031% of return per unit of risk over the last 1 month. Our approach towards foreseeing volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for BARC GLB INF GBP M which you can use to evaluate future volatility of the entity. Please confirm BARC GLB INF Mean Deviation of 0.3988 and Coefficient Of Variation of 31063.07 to double-check if risk estimate we provide are consistent with the epected return of 0.0024%.
 Time Horizon     30 Days    Login   to change

BARC GLB Market Sensitivity

As returns on market increase, BARC GLB returns are expected to increase less than the market. However during bear market, the loss on holding BARC GLB will be expected to be smaller as well.
One Month Beta |Analyze BARC GLB INF Demand Trend
Check current 30 days BARC GLB correlation with market (DOW)
β = 0.8097
BARC GLB Small BetaBARC GLB INF Beta Legend

BARC GLB INF Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, BARC GLB has beta of 0.8097 . This suggests as returns on market go up, BARC GLB average returns are expected to increase less than the benchmark. However during bear market, the loss on holding BARC GLB INF GBP M will be expected to be much smaller as well. Additionally, BARC GLB INF GBP M has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of BARC GLB is 32472.24. The daily returns are destributed with a variance of 0.6 and standard deviation of 0.77. The mean deviation of BARC GLB INF GBP M is currently at 0.44. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.09
β
Beta against DOW=0.81
σ
Overall volatility
=0.77
Ir
Information ratio =0.15

Actual Return Volatility

BARC GLB INF GBP M accepts 0.7728% volatility on return distribution over the 30 days horizon. DOW inherits 0.5701% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

BARC GLB Investment Opportunity
BARC GLB INF GBP M has a volatility of 0.77 and is 1.35 times more volatile than DOW. 7% of all equities and portfolios are less risky than BARC GLB. Compared to the overall equity markets, volatility of historical daily returns of BARC GLB INF GBP M is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use BARC GLB INF GBP M to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of BARC GLB to be traded at £1.012 in 30 days. As returns on market increase, BARC GLB returns are expected to increase less than the market. However during bear market, the loss on holding BARC GLB will be expected to be smaller as well.

BARC GLB correlation with market

Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding BARC GLB INF GBP M and equity matching DJI index in the same portfolio.
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