Lyxor Tiedemann (Ireland) Risk Analysis And Volatility Evaluation

F00000QESG -- Ireland Fund  

EUR 106.66  1.36  1.26%

Our philosophy towards estimating volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Lyxor Tiedemann which you can use to evaluate future volatility of the organization. Please verify Lyxor Tiedemann Arbitrage Strat A EUR Mean Deviation of 0.6744 and Risk Adjusted Performance of 0.1027 to check out if risk estimate we provide are consistent with the epected return of 0.0%.
 Time Horizon     30 Days    Login   to change

Lyxor Tiedemann Market Sensitivity

As returns on market increase, returns on owning Lyxor Tiedemann are expected to decrease at a much smaller rate. During bear market, Lyxor Tiedemann is likely to outperform the market.
One Month Beta |Analyze Lyxor Tiedemann Arbi Demand Trend
Check current 30 days Lyxor Tiedemann correlation with market (DOW)
β = -0.1567
Lyxor Tiedemann Almost negative betaLyxor Tiedemann Arbi Beta Legend

Lyxor Tiedemann Arbi Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Lyxor Tiedemann Arbitrage Strat A EUR has beta of -0.1567 suggesting as returns on benchmark increase, returns on holding Lyxor Tiedemann are expected to decrease at a much smaller rate. During bear market, however, Lyxor Tiedemann Arbitrage Strat A EUR is likely to outperform the market. Moreover, Lyxor Tiedemann Arbitrage Strat A EUR has an alpha of 0.1916 implying that it can potentially generate 0.1916% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.19
β
Beta against DOW=0.16
σ
Overall volatility
=0.00
Ir
Information ratio =0.037

Actual Return Volatility

Lyxor Tiedemann Arbitrage Strat A EUR accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.6284% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lyxor Tiedemann Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Lyxor Tiedemann Investment Opportunity
DOW has a standard deviation of returns of 0.63 and is 9.223372036854776E16 times more volatile than Lyxor Tiedemann Arbitrage Strat A EUR. 0% of all equities and portfolios are less risky than Lyxor Tiedemann. Compared to the overall equity markets, volatility of historical daily returns of Lyxor Tiedemann Arbitrage Strat A EUR is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Lyxor Tiedemann Arbitrage Strat A EUR to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Lyxor Tiedemann to be traded at €103.46 in 30 days. As returns on market increase, returns on owning Lyxor Tiedemann are expected to decrease at a much smaller rate. During bear market, Lyxor Tiedemann is likely to outperform the market.

Lyxor Tiedemann correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Tiedemann Arbitrage Stra and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.