BRW US (Ireland) Risk Analysis And Volatility Evaluation

23564676 -- Ireland Fund  

USD 9.44  0.82  7.99%

We consider BRW US unknown risk. BRW US SML secures Sharpe Ratio (or Efficiency) of 0.0235 which signifies that BRW US SML had 0.0235% of return per unit of volatility 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 BRW US SML USD A AC which you can use to evaluate future volatility of the entity. Please confirm BRW US SML Risk Adjusted Performance of 0.038301 and Mean Deviation of 3.72 to double-check if risk estimate we provide are consistent with the epected return of 0.1388%.
 Time Horizon     30 Days    Login   to change

BRW US Market Sensitivity

As returns on market increase, returns on owning BRW US are expected to decrease at a much smaller rate. During bear market, BRW US is likely to outperform the market.
One Month Beta |Analyze BRW US SML Demand Trend
Check current 30 days BRW US correlation with market (DOW)
β = -0.0221
BRW US Almost negative betaBRW US SML Beta Legend

BRW US SML Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, BRW US SML USD A AC has beta of -0.0221 . This suggests as returns on benchmark increase, returns on holding BRW US are expected to decrease at a much smaller rate. During bear market, however, BRW US SML USD A AC is likely to outperform the market. Additionally, BRW US SML USD A AC 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 BRW US is 4249.38. The daily returns are destributed with a variance of 34.81 and standard deviation of 5.9. The mean deviation of BRW US SML USD A AC is currently at 3.42. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.56
β
Beta against DOW=0.02
σ
Overall volatility
=5.90
Ir
Information ratio =0.12

Actual Return Volatility

BRW US SML USD A AC accepts 5.8998% volatility on return distribution over the 30 days horizon. DOW inherits 0.5751% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Did you try this?

Run Equity Analysis Now
   

Equity Analysis

Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities
All  Next Launch Equity Analysis

Investment Outlook

BRW US Investment Opportunity
BRW US SML USD A AC has a volatility of 5.9 and is 10.17 times more volatile than DOW. 54% of all equities and portfolios are less risky than BRW US. Compared to the overall equity markets, volatility of historical daily returns of BRW US SML USD A AC is higher than 54 (%) of all global equities and portfolios over the last 30 days.
Check also Trending Equities. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
vendors/bower_components/jquery.easy-pie-chart/dist/jquery.easypiechart.min.js">