Gbl Evolution (Germany) Risk Analysis And Volatility Evaluation

C9DA -- Germany Fund  

EUR 139.08  1.98  1.40%

Macroaxis considers Gbl Evolution to be unknown risk. Gbl Evolution Fds holds Efficiency (Sharpe) Ratio of -0.0322 which attests that Gbl Evolution Fds had -0.0322% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Gbl Evolution Fds exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Gbl Evolution Market Risk Adjusted Performance of 1.80 and Risk Adjusted Performance of 0.24 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Gbl Evolution Market Sensitivity

As returns on market increase, Gbl Evolution returns are expected to increase less than the market. However during bear market, the loss on holding Gbl Evolution will be expected to be smaller as well.
One Month Beta |Analyze Gbl Evolution Fds Demand Trend
Check current 30 days Gbl Evolution correlation with market (DOW)
β = 0.0675
Gbl Evolution Small BetaGbl Evolution Fds Beta Legend

Gbl Evolution Fds Technical Analysis

Transformation
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Gbl Evolution Projected Return Density Against Market

Assuming 30 trading days horizon, Gbl Evolution has beta of 0.0675 . This suggests as returns on market go up, Gbl Evolution average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Gbl Evolution Fds Front Mkts Na will be expected to be much smaller as well. Additionally, Gbl Evolution Fds Front Mkts Na 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 Gbl Evolution is -3108.79. The daily returns are destributed with a variance of 1.19 and standard deviation of 1.09. The mean deviation of Gbl Evolution Fds Front Mkts Na is currently at 0.68. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.11
β
Beta against DOW=0.07
σ
Overall volatility
=1.09
Ir
Information ratio =0.05

Gbl Evolution Return Volatility

Gbl Evolution Fds Front Mkts Na accepts 1.0896% volatility on return distribution over the 30 days horizon. DOW inherits 1.0479% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

Gbl Evolution Investment Opportunity

Gbl Evolution Fds Front Mkts Na has a volatility of 1.09 and is 1.04 times more volatile than DOW. 9% of all equities and portfolios are less risky than Gbl Evolution. Compared to the overall equity markets, volatility of historical daily returns of Gbl Evolution Fds Front Mkts Na is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Gbl Evolution Fds Front Mkts Na to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Gbl Evolution to be traded at €134.91 in 30 days. As returns on market increase, Gbl Evolution returns are expected to increase less than the market. However during bear market, the loss on holding Gbl Evolution will be expected to be smaller as well.

Gbl Evolution correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Gbl Evolution Fds Front Mkts N and equity matching DJI index in the same portfolio.

Gbl Evolution Volatility Indicators

Gbl Evolution Fds Front Mkts Na Current Risk Indicators

Check also Trending Equities. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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