LDI IIFIG (Ireland) Risk Analysis And Volatility Evaluation

3929819 -- Ireland Fund  

GBP 1.25  0.05  3.85%

Macroaxis considers LDI IIFIG to be unknown risk. LDI IIFIG GBP has Sharpe Ratio of -0.4472 which conveys that LDI IIFIG GBP had -0.4472% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. LDI IIFIG exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify LDI IIFIG GBP S ACC Mean Deviation of 1.51 and Risk Adjusted Performance of 0.0137 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

LDI IIFIG Market Sensitivity

As returns on market increase, returns on owning LDI IIFIG are expected to decrease at a much smaller rate. During bear market, LDI IIFIG is likely to outperform the market.
One Month Beta |Analyze LDI IIFIG GBP Demand Trend
Check current 30 days LDI IIFIG correlation with market (DOW)
β = -0.8054
LDI IIFIG Almost negative betaLDI IIFIG GBP Beta Legend

LDI IIFIG GBP Technical Analysis

Transformation
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LDI IIFIG Projected Return Density Against Market

Assuming 30 trading days horizon, LDI IIFIG GBP S ACC has beta of -0.8054 . This suggests as returns on benchmark increase, returns on holding LDI IIFIG are expected to decrease at a much smaller rate. During bear market, however, LDI IIFIG GBP S ACC is likely to outperform the market. Moreover, LDI IIFIG GBP S ACC has an alpha of 0.1391 implying that it can potentially generate 0.1391% 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 LDI IIFIG is -223.61. The daily returns are destributed with a variance of 2.96 and standard deviation of 1.72. The mean deviation of LDI IIFIG GBP S ACC is currently at 1.23. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.14
β
Beta against DOW=0.81
σ
Overall volatility
=1.72
Ir
Information ratio =0.05

LDI IIFIG Return Volatility

LDI IIFIG GBP S ACC accepts 1.7201% volatility on return distribution over the 30 days horizon. DOW inherits 0.4303% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

LDI IIFIG Investment Opportunity

LDI IIFIG GBP S ACC has a volatility of 1.72 and is 4.0 times more volatile than DOW. 15% of all equities and portfolios are less risky than LDI IIFIG. Compared to the overall equity markets, volatility of historical daily returns of LDI IIFIG GBP S ACC is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use LDI IIFIG GBP S ACC to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of LDI IIFIG to be traded at £1.2 in 30 days. As returns on market increase, returns on owning LDI IIFIG are expected to decrease at a much smaller rate. During bear market, LDI IIFIG is likely to outperform the market.

LDI IIFIG correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding LDI IIFIG GBP S ACC and equity matching DJI index in the same portfolio.

LDI IIFIG Volatility Indicators

LDI IIFIG GBP S ACC Current Risk Indicators

Check also Trending Equities. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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