GlobalAccess Japan (Ireland) Risk Analysis And Volatility Evaluation

F00000JVTM -- Ireland Fund  

JPY 174.79  3.40  1.98%

Macroaxis considers GlobalAccess Japan unknown risk given 1 month investment horizon. GlobalAccess Japan Z holds Efficiency (Sharpe) Ratio of 0.4472 which attests that GlobalAccess Japan Z had 0.4472% of return per unit of risk over the last 1 month. Our philosophy towards determining 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 GlobalAccess Japan Z which you can use to evaluate future volatility of the entity. Please utilize GlobalAccess Japan Market Risk Adjusted Performance of 0.1854 and Risk Adjusted Performance of 0.009559 to validate if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

GlobalAccess Japan Market Sensitivity

As returns on market increase, returns on owning GlobalAccess Japan are expected to decrease at a much smaller rate. During bear market, GlobalAccess Japan is likely to outperform the market.
One Month Beta |Analyze GlobalAccess Japan Z Demand Trend
Check current 30 days GlobalAccess Japan correlation with market (DOW)
β = -0.0556
GlobalAccess Japan Almost negative betaGlobalAccess Japan Z Beta Legend

GlobalAccess Japan Z Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, GlobalAccess Japan Z Acc has beta of -0.0556 suggesting as returns on benchmark increase, returns on holding GlobalAccess Japan are expected to decrease at a much smaller rate. During bear market, however, GlobalAccess Japan Z Acc is likely to outperform the market. Additionally, GlobalAccess Japan Z Acc 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 GlobalAccess Japan is 223.61. The daily returns are destributed with a variance of 0.79 and standard deviation of 0.89. The mean deviation of GlobalAccess Japan Z Acc is currently at 0.63. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0044
β
Beta against DOW=0.06
σ
Overall volatility
=0.89
Ir
Information ratio =0.44

Actual Return Volatility

GlobalAccess Japan Z Acc accepts 0.8872% 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

GlobalAccess Japan Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

GlobalAccess Japan Investment Opportunity
GlobalAccess Japan Z Acc has a volatility of 0.89 and is 1.56 times more volatile than DOW. 8% of all equities and portfolios are less risky than GlobalAccess Japan. Compared to the overall equity markets, volatility of historical daily returns of GlobalAccess Japan Z Acc is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use GlobalAccess Japan Z Acc to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of GlobalAccess Japan to be traded at ¥192.27 in 30 days. As returns on market increase, returns on owning GlobalAccess Japan are expected to decrease at a much smaller rate. During bear market, GlobalAccess Japan is likely to outperform the market.

GlobalAccess Japan correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding GlobalAccess Japan Z Acc and equity matching DJI index in the same portfolio.
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