Principal Preferred (Ireland) Risk Analysis And Volatility Evaluation

F00000Q3K6 -- Ireland Fund  

EUR 7.16  0.04  0.56%

Macroaxis considers Principal Preferred to be unknown risk. Principal Preferred maintains Sharpe Ratio (i.e. Efficiency) of -0.5695 which implies Principal Preferred had -0.5695% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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. Principal Preferred exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Principal Preferred Coefficient Of Variation of 347.17 and Risk Adjusted Performance of 0.32 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Principal Preferred Market Sensitivity

As returns on market increase, Principal Preferred returns are expected to increase less than the market. However during bear market, the loss on holding Principal Preferred will be expected to be smaller as well.
One Month Beta |Analyze Principal Preferred Demand Trend
Check current 30 days Principal Preferred correlation with market (DOW)
β = 0.1894
Principal Preferred Small BetaPrincipal Preferred Beta Legend

Principal Preferred Technical Analysis

Transformation
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Principal Preferred Projected Return Density Against Market

Assuming 30 trading days horizon, Principal Preferred has beta of 0.1894 suggesting as returns on market go up, Principal Preferred average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Principal Preferred Secs A EUR Hdg will be expected to be much smaller as well. Additionally, Principal Preferred Secs A EUR Hdg 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 Principal Preferred is -175.58. The daily returns are destributed with a variance of 1.57 and standard deviation of 1.25. The mean deviation of Principal Preferred Secs A EUR Hdg is currently at 0.94. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.2
β
Beta against DOW=0.19
σ
Overall volatility
=1.25
Ir
Information ratio =0.08

Principal Preferred Return Volatility

Principal Preferred Secs A EUR Hdg accepts 1.2538% volatility on return distribution over the 30 days horizon. DOW inherits 1.0618% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Principal Preferred Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Principal Preferred Investment Opportunity

Principal Preferred Secs A EUR Hdg has a volatility of 1.25 and is 1.18 times more volatile than DOW. 11% of all equities and portfolios are less risky than Principal Preferred. Compared to the overall equity markets, volatility of historical daily returns of Principal Preferred Secs A EUR Hdg is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Principal Preferred Secs A EUR Hdg to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Principal Preferred to be traded at €7.02 in 30 days. As returns on market increase, Principal Preferred returns are expected to increase less than the market. However during bear market, the loss on holding Principal Preferred will be expected to be smaller as well.

Principal Preferred correlation with market

Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Principal Preferred Secs A EUR and equity matching DJI index in the same portfolio.

Principal Preferred Volatility Indicators

Principal Preferred Secs A EUR Hdg Current Risk Indicators

Additionally see Investing Opportunities. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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