BNY EUROBD (Ireland) Risk Analysis And Volatility Evaluation

14107349 -- Ireland Fund  

EUR 1.28  0.03  2.29%

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 BNY EUROBD EUR B which you can use to evaluate future volatility of the entity. Please confirm BNY EUROBD EUR Risk Adjusted Performance of 0.0106 and Mean Deviation of 0.9995 to double-check if risk estimate we provide are consistent with the epected return of 0.0%.
 Time Horizon     30 Days    Login   to change

BNY EUROBD Market Sensitivity

As returns on market increase, returns on owning BNY EUROBD are expected to decrease at a much smaller rate. During bear market, BNY EUROBD is likely to outperform the market.
One Month Beta |Analyze BNY EUROBD EUR Demand Trend
Check current 30 days BNY EUROBD correlation with market (DOW)
β = -0.6192
BNY EUROBD Almost negative betaBNY EUROBD EUR Beta Legend

BNY EUROBD EUR Technical Analysis

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Projected Return Density Against Market

Assuming 30 trading days horizon, BNY EUROBD EUR B has beta of -0.6192 . This suggests as returns on benchmark increase, returns on holding BNY EUROBD are expected to decrease at a much smaller rate. During bear market, however, BNY EUROBD EUR B is likely to outperform the market. Moreover, BNY EUROBD EUR B has an alpha of 0.0671 implying that it can potentially generate 0.0671% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.07
β
Beta against DOW=0.62
σ
Overall volatility
=0.00
Ir
Information ratio =0.07

Actual Return Volatility

BNY EUROBD EUR B accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.5886% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Performance Analysis

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Investment Outlook

BNY EUROBD Investment Opportunity
DOW has a standard deviation of returns of 0.59 and is 9.223372036854776E16 times more volatile than BNY EUROBD EUR B. 0% of all equities and portfolios are less risky than BNY EUROBD. Compared to the overall equity markets, volatility of historical daily returns of BNY EUROBD EUR B is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use BNY EUROBD EUR B to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of BNY EUROBD to be traded at €1.2288 in 30 days. As returns on market increase, returns on owning BNY EUROBD are expected to decrease at a much smaller rate. During bear market, BNY EUROBD is likely to outperform the market.

BNY EUROBD correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding BNY EUROBD EUR B and equity matching DJI index in the same portfolio.
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