GAM Star (Ireland) Risk Analysis And Volatility Evaluation

F00000MJM1 -- Ireland Fund  

GBp 2,063  6.00  0.29%

Macroaxis considers GAM Star to be unknown risk. GAM Star Composite holds Efficiency (Sharpe) Ratio of -0.5774 which attests that GAM Star Composite had -0.5774% of return per unit of risk over the last 1 month. Macroaxis approach towards determining 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. GAM Star Composite exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out GAM Star to validate risk estimate we provide.
Horizon     30 Days    Login   to change

GAM Star Market Sensitivity

As returns on market increase, GAM Star returns are expected to increase less than the market. However during bear market, the loss on holding GAM Star will be expected to be smaller as well.
One Month Beta |Analyze GAM Star Composite Demand Trend
Check current 30 days GAM Star correlation with market (DOW)
β = 0.2607
GAM Star Small BetaGAM Star Composite Beta Legend

GAM Star Composite Technical Analysis

Transformation
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GAM Star Projected Return Density Against Market

Assuming 30 trading days horizon, GAM Star has beta of 0.2607 suggesting as returns on market go up, GAM Star average returns are expected to increase less than the benchmark. However during bear market, the loss on holding GAM Star Composite Glb Eq GBP Acc will be expected to be much smaller as well. Moreover, GAM Star Composite Glb Eq GBP Acc has an alpha of 0.7565 implying that it can potentially generate 0.7565% 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 GAM Star is -173.21. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.17. The mean deviation of GAM Star Composite Glb Eq GBP Acc is currently at 0.13. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.76
β
Beta against DOW=0.26
σ
Overall volatility
=0.17
Ir
Information ratio =0.53

GAM Star Return Volatility

GAM Star Composite Glb Eq GBP Acc accepts 0.1674% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

GAM Star Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

GAM Star Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 6.24 times more volatile than GAM Star Composite Glb Eq GBP Acc. 1% of all equities and portfolios are less risky than GAM Star. Compared to the overall equity markets, volatility of historical daily returns of GAM Star Composite Glb Eq GBP Acc is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use GAM Star Composite Glb Eq GBP Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of GAM Star to be traded at p;2042.37 in 30 days. As returns on market increase, GAM Star returns are expected to increase less than the market. However during bear market, the loss on holding GAM Star will be expected to be smaller as well.

GAM Star correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding GAM Star Composite Glb Eq GBP and equity matching DJI index in the same portfolio.

GAM Star Volatility Indicators

GAM Star Composite Glb Eq GBP Acc Current Risk Indicators

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