NFB Global (Ireland) Risk Analysis And Volatility Evaluation

F00000QESH -- Ireland Fund  

USD 13.05  0.06  0.46%

Macroaxis considers NFB Global unknown risk given 1 month investment horizon. NFB Global Balanced retains Efficiency (Sharpe Ratio) of 0.5774 which conveys that NFB Global Balanced had 0.5774% of return per unit of risk over the last 1 month. Our approach towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for NFB Global which you can use to evaluate future volatility of the organization. Please exercise NFB Global Balanced Fd of Fds A USD Acc Market Risk Adjusted Performance of 3.96 and Mean Deviation of 0.2193 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

NFB Global Market Sensitivity

As returns on market increase, NFB Global returns are expected to increase less than the market. However during bear market, the loss on holding NFB Global will be expected to be smaller as well.
One Month Beta |Analyze NFB Global Balanced Demand Trend
Check current 30 days NFB Global correlation with market (DOW)
β = 0.0209
NFB Global Small BetaNFB Global Balanced Beta Legend

NFB Global Balanced Technical Analysis

Transformation
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NFB Global Projected Return Density Against Market

Assuming 30 trading days horizon, NFB Global has beta of 0.0209 suggesting as returns on market go up, NFB Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding NFB Global Balanced Fd of Fds A USD Acc will be expected to be much smaller as well. Moreover, NFB Global Balanced Fd of Fds A USD Acc has an alpha of 0.0856 implying that it can potentially generate 0.0856% 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 NFB Global is 173.21. The daily returns are destributed with a variance of 0.13 and standard deviation of 0.36. The mean deviation of NFB Global Balanced Fd of Fds A USD Acc is currently at 0.27. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.09
β
Beta against DOW=0.0209
σ
Overall volatility
=0.36
Ir
Information ratio =0.69

NFB Global Return Volatility

NFB Global Balanced Fd of Fds A USD Acc accepts 0.3561% volatility on return distribution over the 30 days horizon. DOW inherits 1.0479% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

NFB Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

NFB Global Investment Opportunity

DOW has a standard deviation of returns of 1.05 and is 2.92 times more volatile than NFB Global Balanced Fd of Fds A USD Acc. 3% of all equities and portfolios are less risky than NFB Global. Compared to the overall equity markets, volatility of historical daily returns of NFB Global Balanced Fd of Fds A USD Acc is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use NFB Global Balanced Fd of Fds A USD Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of NFB Global to be traded at $12.92 in 30 days. As returns on market increase, NFB Global returns are expected to increase less than the market. However during bear market, the loss on holding NFB Global will be expected to be smaller as well.

NFB Global correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding NFB Global Balanced Fd of Fds and equity matching DJI index in the same portfolio.

NFB Global Volatility Indicators

NFB Global Balanced Fd of Fds A USD Acc Current Risk Indicators

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