Veritas Global (Ireland) Risk Analysis And Volatility Evaluation

F00000OKTI -- Ireland Fund  

EUR 30.70  0.13  0.43%

Macroaxis considers Veritas Global unknown risk given 1 month investment horizon. Veritas Global Focus owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.9845 which indicates Veritas Global Focus had 0.9845% of return per unit of risk over the last 1 month. 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 Veritas Global Focus EUR D which you can use to evaluate future volatility of the fund. Please operate Veritas Global Coefficient Of Variation of 304.1 and Risk Adjusted Performance of 0.1646 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Veritas Global Market Sensitivity

As returns on market increase, returns on owning Veritas Global are expected to decrease at a much smaller rate. During bear market, Veritas Global is likely to outperform the market.
One Month Beta |Analyze Veritas Global Focus Demand Trend
Check current 30 days Veritas Global correlation with market (DOW)
β = -0.4315
Veritas Global Almost negative betaVeritas Global Focus Beta Legend

Veritas Global Focus Technical Analysis

Transformation
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Veritas Global Projected Return Density Against Market

Assuming 30 trading days horizon, Veritas Global Focus EUR D has beta of -0.4315 suggesting as returns on benchmark increase, returns on holding Veritas Global are expected to decrease at a much smaller rate. During bear market, however, Veritas Global Focus EUR D is likely to outperform the market. Moreover, Veritas Global Focus EUR D has an alpha of 0.5366 implying that it can potentially generate 0.5366% 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 Veritas Global is 101.57. The daily returns are destributed with a variance of 0.2 and standard deviation of 0.45. The mean deviation of Veritas Global Focus EUR D is currently at 0.3. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.54
β
Beta against DOW=0.43
σ
Overall volatility
=0.45
Ir
Information ratio =0.22

Veritas Global Return Volatility

Veritas Global Focus EUR D accepts 0.4457% volatility on return distribution over the 30 days horizon. DOW inherits 0.4303% 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 0.45 and is 1.05 times more volatile than DOW. 4% 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 4 (%) of all global equities and portfolios over the last 30 days. Use Veritas Global Focus EUR D to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Veritas Global to be traded at €32.24 in 30 days. As returns on market increase, returns on owning Veritas Global are expected to decrease at a much smaller rate. During bear market, Veritas Global is likely to outperform the market.

Veritas Global correlation with market

Good 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.

Veritas Global Volatility Indicators

Veritas Global Focus EUR D Current Risk Indicators

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