JAN PRK (Ireland) Risk Analysis And Volatility Evaluation

3697912 -- Ireland Fund  

USD 18.42  0.11  0.60%

Macroaxis considers JAN PRK to be not too risky. JAN PRK US holds Efficiency (Sharpe) Ratio of -0.1799 which attests that JAN PRK US had -0.1799% of return per unit of volatility over the last 1 month. Macroaxis way of determining risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. JAN PRK US exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out JAN PRK Market Risk Adjusted Performance of 2.46 and Semi Deviation of 5.3 to validate risk estimate we provide.
 Time Horizon     30 Days    Login   to change

JAN PRK Market Sensitivity

As returns on market increase, returns on owning JAN PRK are expected to decrease at a much smaller rate. During bear market, JAN PRK is likely to outperform the market.
One Month Beta |Analyze JAN PRK US Demand Trend
Check current 30 days JAN PRK correlation with market (DOW)
β = -0.2958
JAN PRK Almost negative betaJAN PRK US Beta Legend

JAN PRK US Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. JAN PRK US Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Assuming 30 trading days horizon, JAN PRK US USD A has beta of -0.2958 . This suggests as returns on benchmark increase, returns on holding JAN PRK are expected to decrease at a much smaller rate. During bear market, however, JAN PRK US USD A is likely to outperform the market. Moreover, JAN PRK US USD A has an alpha of 0.7589 implying that it can potentially generate 0.7589% 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 JAN PRK is -556.01. The daily returns are destributed with a variance of 0.14 and standard deviation of 0.37. The mean deviation of JAN PRK US USD A is currently at 0.29. For similar time horizon, the selected benchmark (DOW) has volatility of 0.55
α
Alpha over DOW
=0.76
β
Beta against DOW=0.3
σ
Overall volatility
=0.37
Ir
Information ratio =0.06

Actual Return Volatility

JAN PRK US USD A accepts 0.3727% volatility on return distribution over the 30 days horizon. DOW inherits 0.5516% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

JAN PRK Investment Opportunity
DOW has a standard deviation of returns of 0.55 and is 1.49 times more volatile than JAN PRK US USD A. 3% of all equities and portfolios are less risky than JAN PRK. Compared to the overall equity markets, volatility of historical daily returns of JAN PRK US USD A is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use JAN PRK US USD A to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of JAN PRK to be traded at $20.26 in 30 days. As returns on market increase, returns on owning JAN PRK are expected to decrease at a much smaller rate. During bear market, JAN PRK is likely to outperform the market.

JAN PRK correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding JAN PRK US USD A and equity matching DJI index in the same portfolio.
Check also Trending Equities. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.