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SANTANDER SMALL (Spain) Volatility

SA
ES0107987002 -- Spain Fund  

EUR 90.18  0.00  0.00%

Macroaxis considers SANTANDER SMALL to be slightly risky. SANTANDER SMALL CAPS owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5696, which indicates the fund had -0.5696% of return per unit of standard deviation over the last 3 months. Macroaxis approach into measuring 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. SANTANDER SMALL CAPS EUROPA CL exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SANTANDER SMALL Risk Adjusted Performance of (1.08) and Market Risk Adjusted Performance of (8.42) to confirm the risk estimate we provide.
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SANTANDER SMALL Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of SANTANDER daily returns, and it is calculated using variance and standard deviation. We also use SANTANDER's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of SANTANDER SMALL volatility.

SANTANDER SMALL Market Sensitivity

As returns on market increase, SANTANDER SMALL returns are expected to increase less than the market. However, during bear market, the loss on holding SANTANDER SMALL will be expected to be smaller as well.
3 Months Beta |Analyze SANTANDER SMALL CAPS Demand Trend
Check current 30 days SANTANDER SMALL correlation with market (DOW)
β = 0.3265

SANTANDER SMALL Central Daily Price Deviation

SANTANDER SMALL CAPS Technical Analysis

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SANTANDER SMALL Projected Return Density Against Market

Assuming 30 trading days horizon, SANTANDER SMALL has beta of 0.3265 suggesting as returns on market go up, SANTANDER SMALL average returns are expected to increase less than the benchmark. However during bear market, the loss on holding SANTANDER SMALL CAPS EUROPA CL will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. SANTANDER SMALL CAPS is significantly underperforming DOW.
 Predicted Return Density 
    
  Returns 
Assuming 30 trading days horizon, the coefficient of variation of SANTANDER SMALL is -175.57. The daily returns are destributed with a variance of 167.95 and standard deviation of 12.96. The mean deviation of SANTANDER SMALL CAPS EUROPA CL is currently at 9.13. For similar time horizon, the selected benchmark (DOW) has volatility of 3.73
α
Alpha over DOW
=2.64
β
Beta against DOW=0.33
σ
Overall volatility
=12.96
Ir
Information ratio =0.26

SANTANDER SMALL Return Volatility

the fund accepts 12.9597% volatility on return distribution over the 30 days horizon. the entity inherits 3.8119% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

SANTANDER SMALL Investment Opportunity

SANTANDER SMALL CAPS EUROPA CL has a volatility of 12.96 and is 3.4 times more volatile than DOW. 96  of all equities and portfolios are less risky than SANTANDER SMALL. Compared to the overall equity markets, volatility of historical daily returns of SANTANDER SMALL CAPS EUROPA CL is higher than 96 () of all global equities and portfolios over the last 30 days. Use SANTANDER SMALL CAPS EUROPA CL to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of SANTANDER SMALL to be traded at €89.28 in 30 days. . As returns on market increase, SANTANDER SMALL returns are expected to increase less than the market. However, during bear market, the loss on holding SANTANDER SMALL will be expected to be smaller as well.

SANTANDER SMALL correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding SANTANDER SMALL CAPS EUROPA CL and equity matching DJI index in the same portfolio.

SANTANDER SMALL Current Risk Indicators

SANTANDER SMALL Suggested Diversification Pairs

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