SSgA GBP (Ireland) Risk Analysis And Volatility Evaluation

Our philosophy towards measuring 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 SSgA GBP Liquidity Z Acc which you can use to evaluate future volatility of the fund. Please validate SSgA GBP Coefficient Of Variation of 231.04 and Risk Adjusted Performance of 0.313 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

SSgA GBP Market Sensitivity

As returns on market increase, SSgA GBP returns are expected to increase less than the market. However during bear market, the loss on holding SSgA GBP will be expected to be smaller as well.
2 Months Beta |Analyze SSgA GBP Liquidity Demand Trend
Check current 30 days SSgA GBP correlation with market (DOW)
β = 0.0045

SSgA GBP Central Daily Price Deviation

SSgA GBP Liquidity Technical Analysis

Transformation
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SSgA GBP Projected Return Density Against Market

Assuming 30 trading days horizon, SSgA GBP has beta of 0.0045 suggesting as returns on market go up, SSgA GBP average returns are expected to increase less than the benchmark. However during bear market, the loss on holding SSgA GBP Liquidity Z Acc will be expected to be much smaller as well. Moreover, SSgA GBP Liquidity Z Acc has an alpha of 0.0125 implying that it can potentially generate 0.0125% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0125
β
Beta against DOW=0.0045
σ
Overall volatility
=0.00
Ir
Information ratio =2.52

SSgA GBP Return Volatility

SSgA GBP Liquidity Z Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SSgA GBP Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

SSgA GBP Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 9.223372036854776E16 times more volatile than SSgA GBP Liquidity Z Acc. 0% of all equities and portfolios are less risky than SSgA GBP. Compared to the overall equity markets, volatility of historical daily returns of SSgA GBP Liquidity Z Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use SSgA GBP Liquidity Z Acc to protect against small markets fluctuations. The fund experiences very speculative upward sentiment.. Check odds of SSgA GBP to be traded at p;0.0 in 30 days. As returns on market increase, SSgA GBP returns are expected to increase less than the market. However during bear market, the loss on holding SSgA GBP will be expected to be smaller as well.

SSgA GBP correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding SSgA GBP Liquidity Z Acc and equity matching DJI index in the same portfolio.

SSgA GBP Volatility Indicators

SSgA GBP Liquidity Z Acc Current Risk Indicators

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