Payden Absolute (Ireland) Risk Analysis And Volatility Evaluation

F00000QGOD -- Ireland Fund  

USD 11.29  0.01  0.09%

Macroaxis considers Payden Absolute to be unknown risk. Payden Absolute Return maintains Sharpe Ratio (i.e. Efficiency) of -0.4472 which implies Payden Absolute Return had -0.4472% of return per unit of risk over the last 1 month. Macroaxis philosophy 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. Payden Absolute Return exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Payden Absolute Return Coefficient Of Variation of 741.96 and Risk Adjusted Performance of 0.0197 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Payden Absolute Market Sensitivity

As returns on market increase, Payden Absolute returns are expected to increase less than the market. However during bear market, the loss on holding Payden Absolute will be expected to be smaller as well.
One Month Beta |Analyze Payden Absolute Return Demand Trend
Check current 30 days Payden Absolute correlation with market (DOW)
β = 0.0079
Payden Absolute Small BetaPayden Absolute Return Beta Legend

Payden Absolute Return Technical Analysis

Transformation
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Payden Absolute Projected Return Density Against Market

Assuming 30 trading days horizon, Payden Absolute has beta of 0.0079 suggesting as returns on market go up, Payden Absolute average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Payden Absolute Return Bond USD Acc will be expected to be much smaller as well. Moreover, Payden Absolute Return Bond USD Acc has an alpha of 6.0E-4 implying that it can potentially generate 6.0E-4% 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 Payden Absolute is -223.61. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.04. The mean deviation of Payden Absolute Return Bond USD Acc is currently at 0.03. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0006
β
Beta against DOW=0.0079
σ
Overall volatility
=0.0396
Ir
Information ratio =1.86

Payden Absolute Return Volatility

Payden Absolute Return Bond USD Acc accepts 0.0396% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Payden Absolute Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Payden Absolute Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 11.25 times more volatile than Payden Absolute Return Bond USD Acc. 0% of all equities and portfolios are less risky than Payden Absolute. Compared to the overall equity markets, volatility of historical daily returns of Payden Absolute Return Bond USD Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Payden Absolute Return Bond USD Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Payden Absolute to be traded at $11.18 in 30 days. As returns on market increase, Payden Absolute returns are expected to increase less than the market. However during bear market, the loss on holding Payden Absolute will be expected to be smaller as well.

Payden Absolute correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Payden Absolute Return Bond US and equity matching DJI index in the same portfolio.

Payden Absolute Volatility Indicators

Payden Absolute Return Bond USD Acc Current Risk Indicators

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