MAM US (Ireland) Risk Analysis And Volatility Evaluation

30143440 -- Ireland Fund  

USD 10.30  0.59  6.08%

We consider MAM US unknown risk. MAM US HD has Sharpe Ratio of 0.018 which conveys that MAM US HD had 0.018% of return per unit of volatility over the last 1 month. Our way of estimating 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 MAM US which you can use to evaluate future volatility of the entity. Please verify MAM US HD USD P ACC Market Risk Adjusted Performance of 0.2541 and Mean Deviation of 2.09 to check out if risk estimate we provide are consistent with the epected return of 0.087%.
 Time Horizon     30 Days    Login   to change

MAM US Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, MAM US will likely underperform.
One Month Beta |Analyze MAM US HD Demand Trend
Check current 30 days MAM US correlation with market (DOW)
β = 1.285
MAM US Large BetaMAM US HD Beta Legend

MAM US HD Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, the fund has beta coefficient of 1.285 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, MAM US will likely underperform. Moreover, MAM US HD USD P ACC has an alpha of 0.1556 implying that it can potentially generate 0.1556% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of MAM US is 5540.43. The daily returns are destributed with a variance of 23.23 and standard deviation of 4.82. The mean deviation of MAM US HD USD P ACC is currently at 2.99. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.16
β
Beta against DOW=1.28
σ
Overall volatility
=4.82
Ir
Information ratio =0.06

Actual Return Volatility

MAM US HD USD P ACC accepts 4.8202% volatility on return distribution over the 30 days horizon. DOW inherits 0.6387% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

MAM US Investment Opportunity
MAM US HD USD P ACC has a volatility of 4.82 and is 7.53 times more volatile than DOW. 44% of all equities and portfolios are less risky than MAM US. Compared to the overall equity markets, volatility of historical daily returns of MAM US HD USD P ACC is lower than 44 (%) of all global equities and portfolios over the last 30 days. Use MAM US HD USD P ACC to enhance returns of your portfolios. The fund experiences very speculative upward sentiment.. Check odds of MAM US to be traded at $12.88 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, MAM US will likely underperform.

MAM US correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding MAM US HD USD P ACC and equity matching DJI index in the same portfolio.
Check also Trending Equities. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.