Vanguard Glb (Ireland) Risk Analysis And Volatility Evaluation

F000003VEB -- Ireland Fund  

GBp 13,095  10.00  0.08%

Macroaxis considers Vanguard Glb to be unknown risk. Vanguard Glb Bd owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.4345 which indicates Vanguard Glb Bd had -0.4345% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Vanguard Glb Bd Idx GBP Hdg exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vanguard Glb Coefficient Of Variation of 610.07 and Risk Adjusted Performance of 0.0109 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Vanguard Glb Market Sensitivity

As returns on market increase, Vanguard Glb returns are expected to increase less than the market. However during bear market, the loss on holding Vanguard Glb will be expected to be smaller as well.
One Month Beta |Analyze Vanguard Glb Bd Demand Trend
Check current 30 days Vanguard Glb correlation with market (DOW)
β = 0.0138
Vanguard Glb Small BetaVanguard Glb Bd Beta Legend

Vanguard Glb Bd Technical Analysis

Transformation
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Vanguard Glb Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard Glb has beta of 0.0138 suggesting as returns on market go up, Vanguard Glb average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Vanguard Glb Bd Idx GBP Hdg will be expected to be much smaller as well. Additionally, Vanguard Glb Bd Idx GBP Hdg 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 Vanguard Glb is -230.16. The daily returns are destributed with a variance of 0.16 and standard deviation of 0.4. The mean deviation of Vanguard Glb Bd Idx GBP Hdg is currently at 0.3. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0022
β
Beta against DOW=0.0138
σ
Overall volatility
=0.40
Ir
Information ratio =2.69

Vanguard Glb Return Volatility

Vanguard Glb Bd Idx GBP Hdg accepts 0.4011% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vanguard Glb Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Vanguard Glb Investment Opportunity

DOW has a standard deviation of returns of 0.44 and is 1.1 times more volatile than Vanguard Glb Bd Idx GBP Hdg. 3% of all equities and portfolios are less risky than Vanguard Glb. Compared to the overall equity markets, volatility of historical daily returns of Vanguard Glb Bd Idx GBP Hdg is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use Vanguard Glb Bd Idx GBP Hdg to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Vanguard Glb to be traded at p;13749.75 in 30 days. As returns on market increase, Vanguard Glb returns are expected to increase less than the market. However during bear market, the loss on holding Vanguard Glb will be expected to be smaller as well.

Vanguard Glb correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Glb Bd Idx GBP Hdg In and equity matching DJI index in the same portfolio.

Vanguard Glb Volatility Indicators

Vanguard Glb Bd Idx GBP Hdg Current Risk Indicators

Additionally see Investing Opportunities. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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