Muzinich Loan (Ireland) Risk Analysis And Volatility Evaluation

F00000NF5R -- Ireland Fund  

EUR 94.77  0.02  0.0211%

We consider Muzinich Loan unknown risk. Muzinich Loan EUR has Sharpe Ratio of 0.866 which conveys that Muzinich Loan EUR had 0.866% 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 company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Muzinich Loan which you can use to evaluate future volatility of the organization. Please verify Muzinich Loan EUR INC H Mean Deviation of 0.2299 and Risk Adjusted Performance of 0.08 to check out if risk estimate we provide are consistent with the epected return of 0.0106%.
 Time Horizon     30 Days    Login   to change

Muzinich Loan Market Sensitivity

As returns on market increase, Muzinich Loan returns are expected to increase less than the market. However during bear market, the loss on holding Muzinich Loan will be expected to be smaller as well.
One Month Beta |Analyze Muzinich Loan EUR Demand Trend
Check current 30 days Muzinich Loan correlation with market (DOW)
β = 0.0632
Muzinich Loan Small BetaMuzinich Loan EUR Beta Legend

Muzinich Loan EUR Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Muzinich Loan has beta of 0.0632 suggesting as returns on market go up, Muzinich Loan average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Muzinich Loan EUR INC H will be expected to be much smaller as well. Additionally, Muzinich Loan EUR INC H 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 Muzinich Loan is 115.47. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.01. The mean deviation of Muzinich Loan EUR INC H is currently at 0.01. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.12
β
Beta against DOW=0.06
σ
Overall volatility
=0.0122
Ir
Information ratio =0.4

Actual Return Volatility

Muzinich Loan EUR INC H accepts 0.0122% volatility on return distribution over the 30 days horizon. DOW inherits 0.5701% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Muzinich Loan Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Muzinich Loan Investment Opportunity
DOW has a standard deviation of returns of 0.57 and is 57.0 times more volatile than Muzinich Loan EUR INC H. 0% of all equities and portfolios are less risky than Muzinich Loan. Compared to the overall equity markets, volatility of historical daily returns of Muzinich Loan EUR INC H is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Muzinich Loan EUR INC H to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Muzinich Loan to be traded at €99.51 in 30 days. As returns on market increase, Muzinich Loan returns are expected to increase less than the market. However during bear market, the loss on holding Muzinich Loan will be expected to be smaller as well.

Muzinich Loan correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Muzinich Loan EUR INC H and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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