Perkins US (Ireland) Risk Analysis And Volatility Evaluation

F00000NFBA -- Ireland Fund  

EUR 16.27  0.02  0.12%

Macroaxis considers Perkins US to be unknown risk. Perkins US Strategic maintains Sharpe Ratio (i.e. Efficiency) of -0.3054 which implies Perkins US Strategic had -0.3054% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Perkins US Strategic exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Perkins US Strategic Coefficient Of Variation of 512.76 and Risk Adjusted Performance of 0.2107 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Perkins US Market Sensitivity

As returns on market increase, returns on owning Perkins US are expected to decrease at a much smaller rate. During bear market, Perkins US is likely to outperform the market.
One Month Beta |Analyze Perkins US Strategic Demand Trend
Check current 30 days Perkins US correlation with market (DOW)
β = -0.0596
Perkins US Almost negative betaPerkins US Strategic Beta Legend

Perkins US Strategic Technical Analysis

Transformation
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Perkins US Projected Return Density Against Market

Assuming 30 trading days horizon, Perkins US Strategic Value E EUR Acc Hdg has beta of -0.0596 suggesting as returns on benchmark increase, returns on holding Perkins US are expected to decrease at a much smaller rate. During bear market, however, Perkins US Strategic Value E EUR Acc Hdg is likely to outperform the market. Moreover, Perkins US Strategic Value E EUR Acc Hdg has an alpha of 0.1937 implying that it can potentially generate 0.1937% 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 Perkins US is -327.47. The daily returns are destributed with a variance of 0.05 and standard deviation of 0.23. The mean deviation of Perkins US Strategic Value E EUR Acc Hdg is currently at 0.18. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.19
β
Beta against DOW=0.06
σ
Overall volatility
=0.23
Ir
Information ratio =0.25

Perkins US Return Volatility

Perkins US Strategic Value E EUR Acc Hdg accepts 0.2335% volatility on return distribution over the 30 days horizon. DOW inherits 1.0565% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Perkins US Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Perkins US Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 4.61 times more volatile than Perkins US Strategic Value E EUR Acc Hdg. 2% of all equities and portfolios are less risky than Perkins US. Compared to the overall equity markets, volatility of historical daily returns of Perkins US Strategic Value E EUR Acc Hdg is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Perkins US Strategic Value E EUR Acc Hdg to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Perkins US to be traded at €17.08 in 30 days. As returns on market increase, returns on owning Perkins US are expected to decrease at a much smaller rate. During bear market, Perkins US is likely to outperform the market.

Perkins US correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Perkins US Strategic Value E E and equity matching DJI index in the same portfolio.

Perkins US Volatility Indicators

Perkins US Strategic Value E EUR Acc Hdg Current Risk Indicators

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