Mediolanum BB (Ireland) Risk Analysis And Volatility Evaluation

F00000HLBA -- Ireland Fund  

EUR 6.53  0.06  0.91%

Macroaxis considers Mediolanum BB to be unknown risk. Mediolanum BB DWS has Sharpe Ratio of -0.5 which conveys that Mediolanum BB DWS had -0.5% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Mediolanum BB exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Mediolanum BB DWS MegaTrend Select L A Mean Deviation of 0.7208 and Risk Adjusted Performance of 0.1309 to check out risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Mediolanum BB Market Sensitivity

As returns on market increase, returns on owning Mediolanum BB are expected to decrease at a much smaller rate. During bear market, Mediolanum BB is likely to outperform the market.
One Month Beta |Analyze Mediolanum BB DWS Demand Trend
Check current 30 days Mediolanum BB correlation with market (DOW)
β = -0.2259
Mediolanum BB Almost negative betaMediolanum BB DWS Beta Legend

Mediolanum BB DWS 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, Mediolanum BB DWS MegaTrend Select L A has beta of -0.2259 suggesting as returns on benchmark increase, returns on holding Mediolanum BB are expected to decrease at a much smaller rate. During bear market, however, Mediolanum BB DWS MegaTrend Select L A is likely to outperform the market. Moreover, Mediolanum BB DWS MegaTrend Select L A has an alpha of 0.2641 implying that it can potentially generate 0.2641% 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 Mediolanum BB is -200.0. The daily returns are destributed with a variance of 0.21 and standard deviation of 0.46. The mean deviation of Mediolanum BB DWS MegaTrend Select L A is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 0.55
α
Alpha over DOW
=0.26
β
Beta against DOW=0.23
σ
Overall volatility
=0.46
Ir
Information ratio =0.13

Actual Return Volatility

Mediolanum BB DWS MegaTrend Select L A accepts 0.4553% volatility on return distribution over the 30 days horizon. DOW inherits 0.5516% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mediolanum BB Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Mediolanum BB Investment Opportunity
DOW has a standard deviation of returns of 0.55 and is 1.2 times more volatile than Mediolanum BB DWS MegaTrend Select L A. 4% of all equities and portfolios are less risky than Mediolanum BB. Compared to the overall equity markets, volatility of historical daily returns of Mediolanum BB DWS MegaTrend Select L A is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Mediolanum BB DWS MegaTrend Select L A to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Mediolanum BB to be traded at €6.4 in 30 days. As returns on market increase, returns on owning Mediolanum BB are expected to decrease at a much smaller rate. During bear market, Mediolanum BB is likely to outperform the market.

Mediolanum BB correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Mediolanum BB DWS MegaTrend Se and equity matching DJI index in the same portfolio.

Volatility Indicators

Mediolanum BB Current Risk Indicators
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.