R Parus (Ireland) Risk Analysis And Volatility Evaluation

F00000QDRM -- Ireland Fund  

EUR 122.21  2.50  2.00%

Macroaxis considers R Parus to be unknown risk. R Parus I maintains Sharpe Ratio (i.e. Efficiency) of -0.5 which implies R Parus I had -0.5% of return per unit of standard deviation over the last 1 month. Macroaxis approach 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. R Parus I exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check R Parus I Mean Deviation of 0.3327, Coefficient Of Variation of 249.87 and Market Risk Adjusted Performance of 0.81 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

R Parus Market Sensitivity

As returns on market increase, returns on owning R Parus are expected to decrease at a much smaller rate. During bear market, R Parus is likely to outperform the market.
One Month Beta |Analyze R Parus I Demand Trend
Check current 30 days R Parus correlation with market (DOW)
β = -0.2279
R Parus Almost negative betaR Parus I Beta Legend

R Parus I Technical Analysis

Transformation
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R Parus Projected Return Density Against Market

Assuming 30 trading days horizon, R Parus I Euro Unhedged has beta of -0.2279 suggesting as returns on benchmark increase, returns on holding R Parus are expected to decrease at a much smaller rate. During bear market, however, R Parus I Euro Unhedged is likely to outperform the market. Moreover, R Parus I Euro Unhedged has an alpha of 0.2245 implying that it can potentially generate 0.2245% 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 R Parus is -200.0. The daily returns are destributed with a variance of 1.0 and standard deviation of 1.0. The mean deviation of R Parus I Euro Unhedged is currently at 0.75. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.22
β
Beta against DOW=0.23
σ
Overall volatility
=1.00
Ir
Information ratio =0.0417

R Parus Return Volatility

R Parus I Euro Unhedged accepts 1.0024% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

R Parus Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

R Parus Investment Opportunity

R Parus I Euro Unhedged has a volatility of 1.0 and is 2.38 times more volatile than DOW. 9% of all equities and portfolios are less risky than R Parus. Compared to the overall equity markets, volatility of historical daily returns of R Parus I Euro Unhedged is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use R Parus I Euro Unhedged to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of R Parus to be traded at €117.32 in 30 days. As returns on market increase, returns on owning R Parus are expected to decrease at a much smaller rate. During bear market, R Parus is likely to outperform the market.

R Parus correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding R Parus I Euro Unhedged and equity matching DJI index in the same portfolio.

R Parus Volatility Indicators

R Parus I Euro Unhedged Current Risk Indicators

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