Wellington (Ireland) Risk Analysis And Volatility Evaluation

F00000MQVQ -- Ireland Fund  

USD 16.44  0.00  0.00%

Macroaxis considers Wellington unknown risk given 1 month investment horizon. Wellington US Core shows Sharpe Ratio of 0.5774 which attests that Wellington US Core had 0.5774% 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 fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Wellington US Core which you can use to evaluate future volatility of the fund. Please utilize Wellington US Core Market Risk Adjusted Performance of 1.14 and Mean Deviation of 0.0431 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Wellington Market Sensitivity

As returns on market increase, returns on owning Wellington are expected to decrease at a much smaller rate. During bear market, Wellington is likely to outperform the market.
One Month Beta |Analyze Wellington US Core Demand Trend
Check current 30 days Wellington correlation with market (DOW)
β = -0.0208
Wellington Almost negative betaWellington US Core Beta Legend

Wellington US Core Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Wellington Projected Return Density Against Market

Assuming 30 trading days horizon, Wellington US Core HY Bd USD S Acc has beta of -0.0208 suggesting as returns on benchmark increase, returns on holding Wellington are expected to decrease at a much smaller rate. During bear market, however, Wellington US Core HY Bd USD S Acc is likely to outperform the market. Moreover, Wellington US Core HY Bd USD S Acc has an alpha of 0.026 implying that it can potentially generate 0.026% 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 Wellington is 173.21. The daily returns are destributed with a variance of 0.21 and standard deviation of 0.46. The mean deviation of Wellington US Core HY Bd USD S Acc is currently at 0.35. For similar time horizon, the selected benchmark (DOW) has volatility of 0.4
α
Alpha over DOW
=0.026
β
Beta against DOW=0.02
σ
Overall volatility
=0.46
Ir
Information ratio =1.37

Wellington Return Volatility

Wellington US Core HY Bd USD S Acc accepts 0.4602% volatility on return distribution over the 30 days horizon. DOW inherits 0.3801% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Wellington Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Wellington Investment Opportunity

Wellington US Core HY Bd USD S Acc has a volatility of 0.46 and is 1.21 times more volatile than DOW. 4% of all equities and portfolios are less risky than Wellington. Compared to the overall equity markets, volatility of historical daily returns of Wellington US Core HY Bd USD S Acc is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Wellington US Core HY Bd USD S Acc to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Wellington to be traded at $16.28 in 30 days. As returns on market increase, returns on owning Wellington are expected to decrease at a much smaller rate. During bear market, Wellington is likely to outperform the market.

Wellington correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Wellington US Core HY Bd USD S and equity matching DJI index in the same portfolio.

Wellington Volatility Indicators

Wellington US Core HY Bd USD S Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Search macroaxis.com