NFB Global (Ireland) Risk Analysis And Volatility Evaluation

F00000QESH -- Ireland Fund  

USD 12.43  0.06  0.48%

Macroaxis considers NFB Global to be unknown risk. NFB Global Balanced retains Efficiency (Sharpe Ratio) of -0.0764 which conveys that NFB Global Balanced had -0.0764% of return per unit of risk over the last 2 months. Macroaxis approach 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. NFB Global exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify NFB Global Balanced Fd of Fds A USD Acc Semi Deviation of 0.0865, Market Risk Adjusted Performance of 0.5809 and Mean Deviation of 0.2655 to check out risk estimate we provide.
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.
2 Months Beta |Analyze NFB Global Balanced Demand Trend
Check current 30 days NFB Global correlation with market (DOW)
β = 0.1004

NFB Global Central Daily Price Deviation

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 0.1004 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 0.0764 implying that it can potentially generate 0.0764% 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 -1308.18. The daily returns are destributed with a variance of 6.53 and standard deviation of 2.56. The mean deviation of NFB Global Balanced Fd of Fds A USD Acc is currently at 1.66. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
α
Alpha over DOW
=0.08
β
Beta against DOW=0.10
σ
Overall volatility
=2.56
Ir
Information ratio =0.50

NFB Global Return Volatility

NFB Global Balanced Fd of Fds A USD Acc accepts 2.5559% volatility on return distribution over the 30 days horizon. DOW inherits 1.3487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

NFB Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

NFB Global Investment Opportunity

NFB Global Balanced Fd of Fds A USD Acc has a volatility of 2.56 and is 1.9 times more volatile than DOW. 23% 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 23 (%) 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 $12.31 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

correlation synergy
Modest 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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