Absolute Insight (Ireland) Risk Analysis And Volatility Evaluation

F000001XI7 -- Ireland Fund  

GBp 123.00  1.00  0.81%

Macroaxis considers Absolute Insight to be unknown risk. Absolute Insight Eq secures Sharpe Ratio (or Efficiency) of -0.5 which signifies that Absolute Insight Eq had -0.5% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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. Absolute Insight Eq Mkt Netrl exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Absolute Insight Eq Risk Adjusted Performance of 0.048428 and Mean Deviation of 0.5927 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Absolute Insight Market Sensitivity

As returns on market increase, Absolute Insight returns are expected to increase less than the market. However during bear market, the loss on holding Absolute Insight will be expected to be smaller as well.
One Month Beta |Analyze Absolute Insight Eq Demand Trend
Check current 30 days Absolute Insight correlation with market (DOW)
β = 0.2411
Absolute Insight Small BetaAbsolute Insight Eq Beta Legend

Absolute Insight Eq Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Absolute Insight has beta of 0.2411 suggesting as returns on market go up, Absolute Insight average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Absolute Insight Eq Mkt Netrl will be expected to be much smaller as well. Additionally, Absolute Insight Eq Mkt Netrl 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 Absolute Insight is -200.0. The daily returns are destributed with a variance of 0.16 and standard deviation of 0.4. The mean deviation of Absolute Insight Eq Mkt Netrl is currently at 0.3. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.12
β
Beta against DOW=0.24
σ
Overall volatility
=0.40
Ir
Information ratio =0.24

Actual Return Volatility

Absolute Insight Eq Mkt Netrl accepts 0.4033% volatility on return distribution over the 30 days horizon. DOW inherits 0.5978% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Absolute Insight Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Absolute Insight Investment Opportunity
DOW has a standard deviation of returns of 0.6 and is 1.5 times more volatile than Absolute Insight Eq Mkt Netrl. 3% of all equities and portfolios are less risky than Absolute Insight. Compared to the overall equity markets, volatility of historical daily returns of Absolute Insight Eq Mkt Netrl is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use Absolute Insight Eq Mkt Netrl to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Absolute Insight to be traded at p;120.54 in 30 days. As returns on market increase, Absolute Insight returns are expected to increase less than the market. However during bear market, the loss on holding Absolute Insight will be expected to be smaller as well.

Absolute Insight correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Absolute Insight Eq Mkt Netrl and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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