Aegon Intl (Ireland) Risk Analysis And Volatility Evaluation

F000005OWB -- Ireland Fund  

GBp 200.00  1.00  0.50%

We consider Aegon Intl unknown risk. Aegon Intl Henderson secures Sharpe Ratio (or Efficiency) of 0.0035 which signifies that Aegon Intl Henderson had 0.0035% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Aegon Intl Henderson Cautious Mgd B which you can use to evaluate future volatility of the entity. Please confirm Aegon Intl Henderson Mean Deviation of 0.1814 and Risk Adjusted Performance of 0.001864 to double-check if risk estimate we provide are consistent with the epected return of 0.0029%.
 Time Horizon     30 Days    Login   to change

Aegon Intl Market Sensitivity

As returns on market increase, Aegon Intl returns are expected to increase less than the market. However during bear market, the loss on holding Aegon Intl will be expected to be smaller as well.
One Month Beta |Analyze Aegon Intl Henderson Demand Trend
Check current 30 days Aegon Intl correlation with market (DOW)
β = 0.188
Aegon Intl Small BetaAegon Intl Henderson Beta Legend

Aegon Intl Henderson Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Aegon Intl has beta of 0.188 suggesting as returns on market go up, Aegon Intl average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Aegon Intl Henderson Cautious Mgd B will be expected to be much smaller as well. Additionally, Aegon Intl Henderson Cautious Mgd B 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 Aegon Intl is 28861.9. The daily returns are destributed with a variance of 0.7 and standard deviation of 0.84. The mean deviation of Aegon Intl Henderson Cautious Mgd B is currently at 0.5. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.03
β
Beta against DOW=0.19
σ
Overall volatility
=0.84
Ir
Information ratio =0.28

Actual Return Volatility

Aegon Intl Henderson Cautious Mgd B accepts 0.837% volatility on return distribution over the 30 days horizon. DOW inherits 0.5701% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Aegon Intl Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Aegon Intl Investment Opportunity
Aegon Intl Henderson Cautious Mgd B has a volatility of 0.84 and is 1.47 times more volatile than DOW. 7% of all equities and portfolios are less risky than Aegon Intl. Compared to the overall equity markets, volatility of historical daily returns of Aegon Intl Henderson Cautious Mgd B is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Aegon Intl Henderson Cautious Mgd B to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Aegon Intl to be traded at p;198.0 in 30 days. As returns on market increase, Aegon Intl returns are expected to increase less than the market. However during bear market, the loss on holding Aegon Intl will be expected to be smaller as well.

Aegon Intl correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Aegon Intl Henderson Cautious and equity matching DJI index in the same portfolio.
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