Sarasin IE (Ireland) Risk Analysis And Volatility Evaluation

F00000OWJO -- Ireland Fund  

USD 29.30  0.58  2.02%

Macroaxis considers Sarasin IE unknown risk given 1 month investment horizon. Sarasin IE EquiSar owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5774 which indicates Sarasin IE EquiSar had 0.5774% 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. By inspecting Sarasin IE EquiSar technical indicators you can presently evaluate if the expected return of 0.6732% is justified by implied risk. Please operate Sarasin IE Coefficient Of Variation of 206.99 and Risk Adjusted Performance of 0.2037 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Sarasin IE Market Sensitivity

As returns on market increase, Sarasin IE returns are expected to increase less than the market. However during bear market, the loss on holding Sarasin IE will be expected to be smaller as well.
One Month Beta |Analyze Sarasin IE EquiSar Demand Trend
Check current 30 days Sarasin IE correlation with market (DOW)
β = 0.0099
Sarasin IE Small BetaSarasin IE EquiSar Beta Legend

Sarasin IE EquiSar Technical Analysis

Transformation
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Sarasin IE Projected Return Density Against Market

Assuming 30 trading days horizon, Sarasin IE has beta of 0.0099 suggesting as returns on market go up, Sarasin IE average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Sarasin IE EquiSar Glbl Thmtc P will be expected to be much smaller as well. Moreover, Sarasin IE EquiSar Glbl Thmtc P has an alpha of 0.0732 implying that it can potentially generate 0.0732% 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 Sarasin IE is 173.21. The daily returns are destributed with a variance of 1.36 and standard deviation of 1.17. The mean deviation of Sarasin IE EquiSar Glbl Thmtc P is currently at 0.9. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.07
β
Beta against DOW=0.0099
σ
Overall volatility
=1.17
Ir
Information ratio =0.52

Sarasin IE Return Volatility

Sarasin IE EquiSar Glbl Thmtc P accepts 1.166% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sarasin IE Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Sarasin IE Investment Opportunity

Sarasin IE EquiSar Glbl Thmtc P has a volatility of 1.17 and is 2.66 times more volatile than DOW. 10% of all equities and portfolios are less risky than Sarasin IE. Compared to the overall equity markets, volatility of historical daily returns of Sarasin IE EquiSar Glbl Thmtc P is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Sarasin IE EquiSar Glbl Thmtc P to enhance returns of your portfolios. The fund experiences unexpected upward trend. Watch out for market signals. Check odds of Sarasin IE to be traded at $35.16 in 30 days. As returns on market increase, Sarasin IE returns are expected to increase less than the market. However during bear market, the loss on holding Sarasin IE will be expected to be smaller as well.

Sarasin IE correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sarasin IE EquiSar Glbl Thmtc and equity matching DJI index in the same portfolio.

Sarasin IE Volatility Indicators

Sarasin IE EquiSar Glbl Thmtc P Current Risk Indicators

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