Babson Capital (Ireland) Risk Analysis And Volatility Evaluation

F00000NNCI -- Ireland Fund  

USD 110.90  0.67  0.60%

We consider Babson Capital unknown risk. Babson Capital Global secures Sharpe Ratio (or Efficiency) of 0.3078 which signifies that Babson Capital Global had 0.3078% of return per unit of standard deviation over the last 1 month. 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 0.0228 and Risk Adjusted Performance of 0.0263 to double-check if risk estimate we provide are consistent with the epected return of 0.1516%.
Horizon     30 Days    Login   to change

Babson Capital Market Sensitivity

As returns on market increase, returns on owning Babson Capital are expected to decrease at a much smaller rate. During bear market, Babson Capital is likely to outperform the market.
One Month Beta |Analyze Babson Capital Global Demand Trend
Check current 30 days Babson Capital correlation with market (DOW)
β = -0.0033
Babson Capital Almost negative betaBabson Capital Global Beta Legend

Babson Capital Global Technical Analysis

Transformation
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Babson Capital Projected Return Density Against Market

Assuming 30 trading days horizon, Babson Capital Global Loan D USD has beta of -0.0033 suggesting as returns on benchmark increase, returns on holding Babson Capital are expected to decrease at a much smaller rate. During bear market, however, Babson Capital Global Loan D USD is likely to outperform the market. Moreover, Babson Capital Global Loan D USD has an alpha of 0.0017 implying that it can potentially generate 0.0017% 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 Babson Capital is 324.85. The daily returns are destributed with a variance of 0.24 and standard deviation of 0.49. The mean deviation of Babson Capital Global Loan D USD is currently at 0.39. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0017
β
Beta against DOW=0.0033
σ
Overall volatility
=0.49
Ir
Information ratio =4.29

Babson Capital Return Volatility

Babson Capital Global Loan D USD accepts 0.4925% volatility on return distribution over the 30 days horizon. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Babson Capital Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Babson Capital Investment Opportunity

Babson Capital Global Loan D USD has a volatility of 0.49 and is 1.09 times more volatile than DOW. 4% 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 4 (%) 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 moderate downward daily trend and can be a good diversifier. Check odds of Babson Capital to be traded at $108.68 in 30 days. As returns on market increase, returns on owning Babson Capital are expected to decrease at a much smaller rate. During bear market, Babson Capital is likely to outperform the market.

Babson Capital correlation with market

Good 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

Additionally see Investing Opportunities. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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