Neuberger Berman (Ireland) Risk Analysis And Volatility Evaluation

F00000MPIK -- Ireland Fund  

AUD 14.02  0.01  0.07%

We consider Neuberger Berman unknown risk. Neuberger Berman has Sharpe Ratio of 0.5 which conveys that Neuberger Berman had 0.5% of return per unit of risk over the last 1 month. 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 Neuberger Berman which you can use to evaluate future volatility of the organization. Please verify Neuberger Berman HY Bd AUD A Acc Mean Deviation of 0.3357 and Risk Adjusted Performance of 0.562 to check out if risk estimate we provide are consistent with the epected return of 0.0895%.
Horizon     30 Days    Login   to change

Neuberger Berman Market Sensitivity

As returns on market increase, Neuberger Berman returns are expected to increase less than the market. However during bear market, the loss on holding Neuberger Berman will be expected to be smaller as well.
One Month Beta |Analyze Neuberger Berman Demand Trend
Check current 30 days Neuberger Berman correlation with market (DOW)
β = 0.0545
Neuberger Berman Small BetaNeuberger Berman Beta Legend

Neuberger Berman Technical Analysis

Transformation
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Neuberger Berman Projected Return Density Against Market

Assuming 30 trading days horizon, Neuberger Berman has beta of 0.0545 suggesting as returns on market go up, Neuberger Berman average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Neuberger Berman HY Bd AUD A Acc will be expected to be much smaller as well. Moreover, Neuberger Berman HY Bd AUD A Acc has an alpha of 0.234 implying that it can potentially generate 0.234% 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 Neuberger Berman is 200.0. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.18. The mean deviation of Neuberger Berman HY Bd AUD A Acc is currently at 0.13. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.23
β
Beta against DOW=0.05
σ
Overall volatility
=0.18
Ir
Information ratio =0.89

Neuberger Berman Return Volatility

Neuberger Berman HY Bd AUD A Acc accepts 0.179% volatility on return distribution over the 30 days horizon. DOW inherits 1.0479% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Neuberger Berman Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Neuberger Berman Investment Opportunity

DOW has a standard deviation of returns of 1.05 and is 5.83 times more volatile than Neuberger Berman HY Bd AUD A Acc. 1% of all equities and portfolios are less risky than Neuberger Berman. Compared to the overall equity markets, volatility of historical daily returns of Neuberger Berman HY Bd AUD A Acc is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Neuberger Berman HY Bd AUD A Acc to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Neuberger Berman to be traded at A$14.72 in 30 days. As returns on market increase, Neuberger Berman returns are expected to increase less than the market. However during bear market, the loss on holding Neuberger Berman will be expected to be smaller as well.

Neuberger Berman correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Neuberger Berman HY Bd AUD A A and equity matching DJI index in the same portfolio.

Neuberger Berman Volatility Indicators

Neuberger Berman HY Bd AUD A Acc Current Risk Indicators

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