R Parus (Ireland) Risk Analysis And Volatility Evaluation

F00000QDRM -- Ireland Fund  

EUR 129.63  1.96  1.54%

Macroaxis considers R Parus unknown risk given 1 month investment horizon. R Parus I maintains Sharpe Ratio (i.e. Efficiency) of 0.5774 which implies R Parus I had 0.5774% of return per unit of standard deviation over the last 1 month. Our approach towards forecasting volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. By examining R Parus I technical indicators you can at this moment evaluate if the expected return of 0.5117% is justified by implied risk. Please employ R Parus I Mean Deviation of 0.2233, Coefficient Of Variation of 282.84 and Market Risk Adjusted Performance of 0.7987 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

R Parus Market Sensitivity

As returns on market increase, R Parus returns are expected to increase less than the market. However during bear market, the loss on holding R Parus will be expected to be smaller as well.
One Month Beta |Analyze R Parus I Demand Trend
Check current 30 days R Parus correlation with market (DOW)
β = 0.1491
R Parus Small BetaR Parus I Beta Legend

R Parus I 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, R Parus has beta of 0.1491 suggesting as returns on market go up, R Parus average returns are expected to increase less than the benchmark. However during bear market, the loss on holding R Parus I Euro Unhedged will be expected to be much smaller as well. Moreover, R Parus I Euro Unhedged has an alpha of 0.0955 implying that it can potentially generate 0.0955% 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 173.21. The daily returns are destributed with a variance of 0.79 and standard deviation of 0.89. The mean deviation of R Parus I Euro Unhedged is currently at 0.68. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.1
β
Beta against DOW=0.15
σ
Overall volatility
=0.89
Ir
Information ratio =0.08

Actual Return Volatility

R Parus I Euro Unhedged accepts 0.8863% volatility on return distribution over the 30 days horizon. DOW inherits 0.5977% 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 0.89 and is 1.48 times more volatile than DOW. 8% 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 8 (%) of all global equities and portfolios over the last 30 days. Use R Parus I Euro Unhedged to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of R Parus to be traded at €142.59 in 30 days. As returns on market increase, R Parus returns are expected to increase less than the market. However during bear market, the loss on holding R Parus will be expected to be smaller as well.

R Parus correlation with market

Average 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.
Additionally see Investing Opportunities. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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