Aegon Intl (Ireland) Risk Analysis And Volatility Evaluation

F000005OWT -- Ireland Fund  

GBp 228.00  2.00  0.87%

Macroaxis considers Aegon Intl to be unknown risk. Aegon Intl 8020 secures Sharpe Ratio (or Efficiency) of -0.1816 which signifies that Aegon Intl 8020 had -0.1816% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in 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. Aegon Intl 8020 Defens Mgd Collection B exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Aegon Intl 8020 Mean Deviation of 0.2682 and Risk Adjusted Performance of 0.0326 to double-check risk estimate we provide.
 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 8020 Demand Trend
Check current 30 days Aegon Intl correlation with market (DOW)
β = 0.1919
Aegon Intl Small BetaAegon Intl 8020 Beta Legend

Aegon Intl 8020 Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, Aegon Intl has beta of 0.1919 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 8020 Defens Mgd Collection B will be expected to be much smaller as well. Additionally, Aegon Intl 8020 Defens Mgd Collection 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 -550.73. The daily returns are destributed with a variance of 0.23 and standard deviation of 0.48. The mean deviation of Aegon Intl 8020 Defens Mgd Collection B is currently at 0.31. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.0098
β
Beta against DOW=0.19
σ
Overall volatility
=0.48
Ir
Information ratio =0.26

Actual Return Volatility

Aegon Intl 8020 Defens Mgd Collection B accepts 0.4768% volatility on return distribution over the 30 days horizon. DOW inherits 0.5977% 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
DOW has a standard deviation of returns of 0.6 and is 1.25 times more volatile than Aegon Intl 8020 Defens Mgd Collection B. 4% 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 8020 Defens Mgd Collection B is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Aegon Intl 8020 Defens Mgd Collection B to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Aegon Intl to be traded at p;223.44 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 8020 Defens Mgd Col and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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