Lazard EM (Ireland) Risk Analysis And Volatility Evaluation

F00000MKGQ -- Ireland Fund  

EUR 94.40  0.20  0.21%

Macroaxis considers Lazard EM to be unknown risk. Lazard EM TotRet has Sharpe Ratio of -0.5774 which conveys that Lazard EM TotRet had -0.5774% 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. Lazard EM exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Lazard EM TotRet Dbt Retl EUR Hdg Acc Mean Deviation of 0.6584 and Risk Adjusted Performance of 0.33 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Lazard EM Market Sensitivity

As returns on market increase, returns on owning Lazard EM are expected to decrease at a much smaller rate. During bear market, Lazard EM is likely to outperform the market.
One Month Beta |Analyze Lazard EM TotRet Demand Trend
Check current 30 days Lazard EM correlation with market (DOW)
β = -0.3042
Lazard EM Almost negative betaLazard EM TotRet Beta Legend

Lazard EM TotRet Technical Analysis

Transformation
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Lazard EM Projected Return Density Against Market

Assuming 30 trading days horizon, Lazard EM TotRet Dbt Retl EUR Hdg Acc has beta of -0.3042 suggesting as returns on benchmark increase, returns on holding Lazard EM are expected to decrease at a much smaller rate. During bear market, however, Lazard EM TotRet Dbt Retl EUR Hdg Acc is likely to outperform the market. Additionally, Lazard EM TotRet Dbt Retl EUR Hdg 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 Lazard EM is -173.21. The daily returns are destributed with a variance of 1.67 and standard deviation of 1.29. The mean deviation of Lazard EM TotRet Dbt Retl EUR Hdg Acc is currently at 0.99. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.4
β
Beta against DOW=0.3
σ
Overall volatility
=1.29
Ir
Information ratio =0.16

Lazard EM Return Volatility

Lazard EM TotRet Dbt Retl EUR Hdg Acc accepts 1.2915% volatility on return distribution over the 30 days horizon. DOW inherits 1.0404% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lazard EM Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Lazard EM Investment Opportunity

Lazard EM TotRet Dbt Retl EUR Hdg Acc has a volatility of 1.29 and is 1.24 times more volatile than DOW. 11% of all equities and portfolios are less risky than Lazard EM. Compared to the overall equity markets, volatility of historical daily returns of Lazard EM TotRet Dbt Retl EUR Hdg Acc is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Lazard EM TotRet Dbt Retl EUR Hdg Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Lazard EM to be traded at €93.46 in 30 days. As returns on market increase, returns on owning Lazard EM are expected to decrease at a much smaller rate. During bear market, Lazard EM is likely to outperform the market.

Lazard EM correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Lazard EM TotRet Dbt Retl EUR and equity matching DJI index in the same portfolio.

Lazard EM Volatility Indicators

Lazard EM TotRet Dbt Retl EUR Hdg Acc Current Risk Indicators

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