Polar Capital (Ireland) Risk Analysis And Volatility Evaluation

F000002QJ0 -- Ireland Fund  

USD 23.00  0.41  1.81%

Macroaxis considers Polar Capital unknown risk given 1 month investment horizon. Polar Capital Japan maintains Sharpe Ratio (i.e. Efficiency) of 0.7071 which implies Polar Capital Japan had 0.7071% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By analyzing Polar Capital Japan technical indicators you can presently evaluate if the expected return of 0.5051% is justified by implied risk. Please employ Polar Capital Japan Coefficient Of Variation of 412.77 and Risk Adjusted Performance of 0.0977 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Polar Capital Market Sensitivity

As returns on market increase, returns on owning Polar Capital are expected to decrease at a much smaller rate. During bear market, Polar Capital is likely to outperform the market.
One Month Beta |Analyze Polar Capital Japan Demand Trend
Check current 30 days Polar Capital correlation with market (DOW)
β = -0.145
Polar Capital Almost negative betaPolar Capital Japan Beta Legend

Polar Capital Japan Technical Analysis

Transformation
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Polar Capital Projected Return Density Against Market

Assuming 30 trading days horizon, Polar Capital Japan R USD Hdg has beta of -0.145 suggesting as returns on benchmark increase, returns on holding Polar Capital are expected to decrease at a much smaller rate. During bear market, however, Polar Capital Japan R USD Hdg is likely to outperform the market. Moreover, Polar Capital Japan R USD Hdg has an alpha of 0.1815 implying that it can potentially generate 0.1815% 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 Polar Capital is 141.42. The daily returns are destributed with a variance of 0.51 and standard deviation of 0.71. The mean deviation of Polar Capital Japan R USD Hdg is currently at 0.51. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38
α
Alpha over DOW
=0.18
β
Beta against DOW=0.14
σ
Overall volatility
=0.71
Ir
Information ratio =0.10

Polar Capital Return Volatility

Polar Capital Japan R USD Hdg accepts 0.7142% volatility on return distribution over the 30 days horizon. DOW inherits 0.389% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Polar Capital Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Polar Capital Investment Opportunity

Polar Capital Japan R USD Hdg has a volatility of 0.71 and is 1.82 times more volatile than DOW. 6% of all equities and portfolios are less risky than Polar Capital. Compared to the overall equity markets, volatility of historical daily returns of Polar Capital Japan R USD Hdg is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Polar Capital Japan R USD Hdg to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Polar Capital to be traded at $25.3 in 30 days. As returns on market increase, returns on owning Polar Capital are expected to decrease at a much smaller rate. During bear market, Polar Capital is likely to outperform the market.

Polar Capital correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Polar Capital Japan R USD Hdg and equity matching DJI index in the same portfolio.

Polar Capital Volatility Indicators

Polar Capital Japan R USD Hdg Current Risk Indicators

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