Veritas Global (Ireland) Risk Analysis And Volatility Evaluation

F00000OKTI -- Ireland Fund  

EUR 29.49  0.36  1.21%

Macroaxis considers Veritas Global to be unknown risk. Veritas Global Focus owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5774 which indicates Veritas Global Focus had -0.5774% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Veritas Global Focus EUR D exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Veritas Global Coefficient Of Variation of 511.94 and Risk Adjusted Performance of 0.11 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Veritas Global Market Sensitivity

As returns on market increase, Veritas Global returns are expected to increase less than the market. However during bear market, the loss on holding Veritas Global will be expected to be smaller as well.
One Month Beta |Analyze Veritas Global Focus Demand Trend
Check current 30 days Veritas Global correlation with market (DOW)
β = 0.1174
Veritas Global Small BetaVeritas Global Focus Beta Legend

Veritas Global Focus Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Veritas Global has beta of 0.1174 suggesting as returns on market go up, Veritas Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Veritas Global Focus EUR D will be expected to be much smaller as well. Additionally, Veritas Global Focus EUR D 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 Veritas Global is -173.21. The daily returns are destributed with a variance of 0.48 and standard deviation of 0.7. The mean deviation of Veritas Global Focus EUR D is currently at 0.54. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.23
β
Beta against DOW=0.12
σ
Overall volatility
=0.70
Ir
Information ratio =0.34

Actual Return Volatility

Veritas Global Focus EUR D accepts 0.6963% volatility on return distribution over the 30 days horizon. DOW inherits 0.5977% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Veritas Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Veritas Global Investment Opportunity
Veritas Global Focus EUR D has a volatility of 0.7 and is 1.17 times more volatile than DOW. 6% of all equities and portfolios are less risky than Veritas Global. Compared to the overall equity markets, volatility of historical daily returns of Veritas Global Focus EUR D is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Veritas Global Focus EUR D to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Veritas Global to be traded at €28.61 in 30 days. As returns on market increase, Veritas Global returns are expected to increase less than the market. However during bear market, the loss on holding Veritas Global will be expected to be smaller as well.

Veritas Global correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Veritas Global Focus EUR D and equity matching DJI index in the same portfolio.
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