Lazard EM (Ireland) Risk Analysis And Volatility

F00000MKGQ -- Ireland Fund  

EUR 92.93  0.36  0.00%

Macroaxis considers Lazard EM unknown risk given 2 months investment horizon. Lazard EM TotRet has Sharpe Ratio of 0.5774 which conveys that the entity had 0.5774% of return per unit of risk over the last 2 months. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Lazard EM which you can use to evaluate future volatility of the organization. Please exercise Lazard EM TotRet Dbt Retl EUR Hdg Acc Risk Adjusted Performance of (0.60) and Mean Deviation of 0.6083 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Lazard EM Market Sensitivity

As returns on market increase, Lazard EM returns are expected to increase less than the market. However during bear market, the loss on holding Lazard EM will be expected to be smaller as well.
2 Months Beta |Analyze Lazard EM TotRet Demand Trend
Check current 30 days Lazard EM correlation with market (DOW)
β = 0.0922

Lazard EM Central Daily Price Deviation

Lazard EM TotRet Technical Analysis

Transformation
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Lazard EM Projected Return Density Against Market

Assuming 30 trading days horizon, Lazard EM has beta of 0.0922 suggesting as returns on market go up, Lazard EM average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Lazard EM TotRet Dbt Retl EUR Hdg Acc will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Lazard EM TotRet 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 0.18 and standard deviation of 0.42. The mean deviation of Lazard EM TotRet Dbt Retl EUR Hdg Acc is currently at 0.32. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.32
β
Beta against DOW=0.09
σ
Overall volatility
=0.42
Ir
Information ratio =0.26

Lazard EM Return Volatility

the fund venture accepts 0.4193% volatility on return distribution over the 30 days horizon. the entity inherits 1.9504% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lazard EM Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Lazard EM Investment Opportunity

DOW has a standard deviation of returns of 1.95 and is 4.64 times more volatile than Lazard EM TotRet Dbt Retl EUR Hdg Acc. 3% 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 3 (%) of all global equities and portfolios over the last 30 days. Use Lazard EM TotRet Dbt Retl EUR Hdg Acc to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Lazard EM to be traded at €97.58 in 30 days. . As returns on market increase, Lazard EM returns are expected to increase less than the market. However during bear market, the loss on holding Lazard EM will be expected to be smaller as well.

Lazard EM correlation with market

correlation synergy
Modest 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

Additionally see Investing Opportunities. Please also try Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.
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