Babson Capital (Ireland) Risk Analysis And Volatility Evaluation

F00000NNCI -- Ireland Fund  

USD 111.70  0.00  0.00%

Our philosophy in foreseeing 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 Babson Capital Global Loan D USD which you can use to evaluate future volatility of the entity. Please confirm Babson Capital Global Mean Deviation of 0.1133 and Risk Adjusted Performance of 0.5455 to double-check if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Babson Capital Market Sensitivity

As returns on market increase, Babson Capital returns are expected to increase less than the market. However during bear market, the loss on holding Babson Capital will be expected to be smaller as well.
2 Months Beta |Analyze Babson Capital Global Demand Trend
Check current 30 days Babson Capital correlation with market (DOW)
β = 0.0219

Babson Capital Central Daily Price Deviation

Babson Capital Global Technical Analysis

Transformation
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Babson Capital Projected Return Density Against Market

Assuming 30 trading days horizon, Babson Capital has beta of 0.0219 suggesting as returns on market go up, Babson Capital average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Babson Capital Global Loan D USD will be expected to be much smaller as well. Moreover, Babson Capital Global Loan D USD has an alpha of 0.0694 implying that it can potentially generate 0.0694% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.07
β
Beta against DOW=0.0219
σ
Overall volatility
=0.00
Ir
Information ratio =1.47

Babson Capital Return Volatility

Babson Capital Global Loan D USD accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2898% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Babson Capital Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Babson Capital Investment Opportunity

DOW has a standard deviation of returns of 1.29 and is 9.223372036854776E16 times more volatile than Babson Capital Global Loan D USD. 0% of all equities and portfolios are less risky than Babson Capital. Compared to the overall equity markets, volatility of historical daily returns of Babson Capital Global Loan D USD is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Babson Capital Global Loan D USD 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 Babson Capital to be traded at $110.58 in 30 days. As returns on market increase, Babson Capital returns are expected to increase less than the market. However during bear market, the loss on holding Babson Capital will be expected to be smaller as well.

Babson Capital correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Babson Capital Global Loan D U and equity matching DJI index in the same portfolio.

Babson Capital Volatility Indicators

Babson Capital Global Loan D USD Current Risk Indicators

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