Third Avenue (Ireland) Risk Analysis And Volatility Evaluation

F000002PCS -- Ireland Fund  

USD 53.64  0.42  0.79%

Macroaxis considers Third Avenue unknown risk given 2 months investment horizon. Third Avenue Real owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2933 which indicates Third Avenue Real had 0.2933% of return per unit of risk over the last 2 months. Our philosophy towards measuring volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Third Avenue Real Estate Val A1 USD which you can use to evaluate future volatility of the fund. Please operate Third Avenue Coefficient Of Variation of (841.17) and Risk Adjusted Performance of (0.21) to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Third Avenue Market Sensitivity

As returns on market increase, Third Avenue returns are expected to increase less than the market. However during bear market, the loss on holding Third Avenue will be expected to be smaller as well.
2 Months Beta |Analyze Third Avenue Real Demand Trend
Check current 30 days Third Avenue correlation with market (DOW)
β = 0.0111

Third Avenue Central Daily Price Deviation

Third Avenue Real Technical Analysis

Transformation
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Third Avenue Projected Return Density Against Market

Assuming 30 trading days horizon, Third Avenue has beta of 0.0111 suggesting as returns on market go up, Third Avenue average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Third Avenue Real Estate Val A1 USD will be expected to be much smaller as well. Additionally, Third Avenue Real Estate Val A1 USD 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 Third Avenue is 340.97. The daily returns are destributed with a variance of 1.79 and standard deviation of 1.34. The mean deviation of Third Avenue Real Estate Val A1 USD is currently at 0.97. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.04
β
Beta against DOW=0.0111
σ
Overall volatility
=1.34
Ir
Information ratio =0.50

Third Avenue Return Volatility

Third Avenue Real Estate Val A1 USD accepts 1.3384% volatility on return distribution over the 30 days horizon. DOW inherits 1.2959% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Third Avenue Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Third Avenue Investment Opportunity

Third Avenue Real Estate Val A1 USD has a volatility of 1.34 and is 1.03 times more volatile than DOW. 12% of all equities and portfolios are less risky than Third Avenue. Compared to the overall equity markets, volatility of historical daily returns of Third Avenue Real Estate Val A1 USD is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Third Avenue Real Estate Val A1 USD to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Third Avenue to be traded at $59.0 in 30 days. As returns on market increase, Third Avenue returns are expected to increase less than the market. However during bear market, the loss on holding Third Avenue will be expected to be smaller as well.

Third Avenue correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Third Avenue Real Estate Val A and equity matching DJI index in the same portfolio.

Third Avenue Volatility Indicators

Third Avenue Real Estate Val A1 USD Current Risk Indicators

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