F00000PHA0 (Ireland) Risk Analysis And Volatility Evaluation

F00000PHA0 -- Ireland Fund  

GBp 11,513  17.00  0.15%

Macroaxis considers F00000PHA0 to be unknown risk. F00000PHA0 IR retains Efficiency (Sharpe Ratio) of -0.1972 which denotes F00000PHA0 IR had -0.1972% of return per unit of price deviation over the last 2 months. Macroaxis way in which we are predicting 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. F00000PHA0 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm F00000PHA0 IR Standard Deviation of 0.1184 and Market Risk Adjusted Performance of (93.80) to check risk estimate we provide.
Horizon     30 Days    Login   to change

F00000PHA0 Market Sensitivity

As returns on market increase, F00000PHA0 returns are expected to increase less than the market. However during bear market, the loss on holding F00000PHA0 will be expected to be smaller as well.
2 Months Beta |Analyze F00000PHA0 IR Demand Trend
Check current 30 days F00000PHA0 correlation with market (DOW)
β = 2.0E-4

F00000PHA0 Central Daily Price Deviation

F00000PHA0 IR Technical Analysis

Transformation
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F00000PHA0 Projected Return Density Against Market

Assuming 30 trading days horizon, F00000PHA0 has beta of 2.0E-4 suggesting as returns on market go up, F00000PHA0 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding F00000PHA0 IR will be expected to be much smaller as well. Additionally, F00000PHA0 IR 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 F00000PHA0 is -507.12. The daily returns are destributed with a variance of 0.15 and standard deviation of 0.38. The mean deviation of F00000PHA0 IR is currently at 0.27. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.02
β
Beta against DOW=0.0002
σ
Overall volatility
=0.38
Ir
Information ratio =1.24

F00000PHA0 Return Volatility

F00000PHA0 IR accepts 0.382% volatility on return distribution over the 30 days horizon. DOW inherits 1.2918% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

F00000PHA0 Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

F00000PHA0 Investment Opportunity

DOW has a standard deviation of returns of 1.29 and is 3.39 times more volatile than F00000PHA0 IR. 3% of all equities and portfolios are less risky than F00000PHA0. Compared to the overall equity markets, volatility of historical daily returns of F00000PHA0 IR is lower than 3 (%) of all global equities and portfolios over the last 30 days.

F00000PHA0 Volatility Indicators

F00000PHA0 IR Current Risk Indicators

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