Sarasin IE (Ireland) Risk Analysis And Volatility Evaluation

F00000OWJP -- Ireland Fund  

USD 33.15  0.34  1.02%

Macroaxis considers Sarasin IE to be unknown risk. 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. 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. Sarasin IE EquiSar Glbl Thmtc P Acc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sarasin IE Coefficient Of Variation of 575.53 and Risk Adjusted Performance of 0.0917 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Sarasin IE Market Sensitivity

As returns on market increase, returns on owning Sarasin IE are expected to decrease by larger amounts. On the other hand, during market turmoil, Sarasin IE is expected to significantly outperform it.
One Month Beta |Analyze Sarasin IE EquiSar Demand Trend
Check current 30 days Sarasin IE correlation with market (DOW)
β = -1.2668
Sarasin IE Large Negative BetaSarasin IE EquiSar Beta Legend

Sarasin IE EquiSar Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, Sarasin IE EquiSar Glbl Thmtc P Acc has beta of -1.2668 suggesting as returns on its benchmark rise, returns on holding Sarasin IE EquiSar Glbl Thmtc P Acc are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Sarasin IE is expected to outperform its benchmark. Moreover, Sarasin IE EquiSar Glbl Thmtc P Acc has an alpha of 0.3611 implying that it can potentially generate 0.3611% 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 4.82 and standard deviation of 2.19. The mean deviation of Sarasin IE EquiSar Glbl Thmtc P Acc is currently at 1.69. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49
α
Alpha over DOW
=0.36
β
Beta against DOW=1.27
σ
Overall volatility
=2.19
Ir
Information ratio =0.14

Actual Return Volatility

Sarasin IE EquiSar Glbl Thmtc P Acc accepts 2.1948% volatility on return distribution over the 30 days horizon. DOW inherits 0.5525% 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 Acc has a volatility of 2.19 and is 3.98 times more volatile than DOW. 19% 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 Acc is lower than 19 (%) of all global equities and portfolios over the last 30 days. Use Sarasin IE EquiSar Glbl Thmtc P Acc to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Sarasin IE to be traded at $32.16 in 30 days. As returns on market increase, returns on owning Sarasin IE are expected to decrease by larger amounts. On the other hand, during market turmoil, Sarasin IE is expected to significantly outperform it.

Sarasin IE correlation with market

Very good 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.
Additionally see Investing Opportunities. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.