Neuberger Berman (Ireland) Risk Analysis And Volatility Evaluation

F00000Q3PJ -- Ireland Fund  

USD 12.04  0.26  2.11%

Macroaxis considers Neuberger Berman to be unknown risk. Neuberger Berman US has Sharpe Ratio of -0.5 which conveys that Neuberger Berman US had -0.5% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Neuberger Berman exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Neuberger Berman US Rel Est Sec B Acc Mean Deviation of 0.1811 and Risk Adjusted Performance of 0.0969 to check out risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Neuberger Berman Market Sensitivity

As returns on market increase, Neuberger Berman returns are expected to increase less than the market. However during bear market, the loss on holding Neuberger Berman will be expected to be smaller as well.
One Month Beta |Analyze Neuberger Berman US Demand Trend
Check current 30 days Neuberger Berman correlation with market (DOW)
β = 0.0359
Neuberger Berman Small BetaNeuberger Berman US Beta Legend

Neuberger Berman US Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Neuberger Berman has beta of 0.0359 suggesting as returns on market go up, Neuberger Berman average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Neuberger Berman US Rel Est Sec B Acc will be expected to be much smaller as well. Moreover, Neuberger Berman US Rel Est Sec B Acc has an alpha of 0.0411 implying that it can potentially generate 0.0411% 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 Neuberger Berman is -200.0. The daily returns are destributed with a variance of 1.12 and standard deviation of 1.06. The mean deviation of Neuberger Berman US Rel Est Sec B Acc is currently at 0.79. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0411
β
Beta against DOW=0.0359
σ
Overall volatility
=1.06
Ir
Information ratio =0.21

Actual Return Volatility

Neuberger Berman US Rel Est Sec B Acc accepts 1.0569% volatility on return distribution over the 30 days horizon. DOW inherits 0.5804% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Neuberger Berman Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Neuberger Berman Investment Opportunity
Neuberger Berman US Rel Est Sec B Acc has a volatility of 1.06 and is 1.83 times more volatile than DOW. 9% of all equities and portfolios are less risky than Neuberger Berman. Compared to the overall equity markets, volatility of historical daily returns of Neuberger Berman US Rel Est Sec B Acc is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Neuberger Berman US Rel Est Sec B Acc to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Neuberger Berman to be traded at $11.56 in 30 days. As returns on market increase, Neuberger Berman returns are expected to increase less than the market. However during bear market, the loss on holding Neuberger Berman will be expected to be smaller as well.

Neuberger Berman correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Neuberger Berman US Rel Est Se and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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