F00000MWSS (Ireland) Risk Analysis And Volatility Evaluation

F00000MWSS -- Ireland Fund  

EUR 98.50  3.16  3.11%

Our way in which we are predicting 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 F00000MWSS which you can use to evaluate future volatility of the entity. Please confirm F00000MWSS IR Standard Deviation of 1.54 and Market Risk Adjusted Performance of 0.76 to check if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

F00000MWSS Market Sensitivity

As returns on market increase, F00000MWSS returns are expected to increase less than the market. However during bear market, the loss on holding F00000MWSS will be expected to be smaller as well.
One Month Beta |Analyze F00000MWSS IR Demand Trend
Check current 30 days F00000MWSS correlation with market (DOW)
β = 0.3326
F00000MWSS Small BetaF00000MWSS IR Beta Legend

F00000MWSS IR Technical Analysis

Transformation
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F00000MWSS Projected Return Density Against Market

Assuming 30 trading days horizon, F00000MWSS has beta of 0.3326 suggesting as returns on market go up, F00000MWSS average returns are expected to increase less than the benchmark. However during bear market, the loss on holding F00000MWSS IR will be expected to be much smaller as well. Additionally, F00000MWSS IR 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 
α
Alpha over DOW
=0.31
β
Beta against DOW=0.33
σ
Overall volatility
=0.00
Ir
Information ratio =0.27

F00000MWSS Return Volatility

F00000MWSS IR accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2393% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

F00000MWSS Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

F00000MWSS Investment Opportunity

DOW has a standard deviation of returns of 1.24 and is 9.223372036854776E16 times more volatile than F00000MWSS IR. 0% of all equities and portfolios are less risky than F00000MWSS. Compared to the overall equity markets, volatility of historical daily returns of F00000MWSS IR is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use F00000MWSS IR to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of F00000MWSS to be traded at €94.56 in 30 days. As returns on market increase, F00000MWSS returns are expected to increase less than the market. However during bear market, the loss on holding F00000MWSS will be expected to be smaller as well.

F00000MWSS correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding F00000MWSS IR and equity matching DJI index in the same portfolio.

F00000MWSS Volatility Indicators

F00000MWSS IR 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.
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