Vulcan Value (Ireland) Risk Analysis And Volatility Evaluation

F00000QJYF -- Ireland Fund  

GBp 19,210  510.00  2.73%

Vulcan Value is unknown risk given 1 month investment horizon. Vulcan Value Equity owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.7071 which indicates Vulcan Value Equity had 0.7071% of return per unit of risk over the last 1 month. Our philosophy towards measuring risk of a fund is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.3637% are justified by taking the suggested risk. Use Vulcan Value Equity Coefficient Of Variation of 947.78 and Risk Adjusted Performance of 0.04687 to evaluate company specific risk that cannot be diversified away.
Horizon     30 Days    Login   to change

Vulcan Value Market Sensitivity

As returns on market increase, returns on owning Vulcan Value are expected to decrease at a much smaller rate. During bear market, Vulcan Value is likely to outperform the market.
One Month Beta |Analyze Vulcan Value Equity Demand Trend
Check current 30 days Vulcan Value correlation with market (DOW)
β = -0.2749
Vulcan Value Almost negative betaVulcan Value Equity Beta Legend

Vulcan Value Equity Technical Analysis

Transformation
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Vulcan Value Projected Return Density Against Market

Assuming 30 trading days horizon, Vulcan Value Equity GBP Acc has beta of -0.2749 suggesting as returns on benchmark increase, returns on holding Vulcan Value are expected to decrease at a much smaller rate. During bear market, however, Vulcan Value Equity GBP Acc is likely to outperform the market. Additionally, Vulcan Value Equity GBP Acc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Vulcan Value is 141.42. The daily returns are destributed with a variance of 3.72 and standard deviation of 1.93. The mean deviation of Vulcan Value Equity GBP Acc is currently at 1.36. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.02
β
Beta against DOW=0.27
σ
Overall volatility
=1.93
Ir
Information ratio =0.45

Vulcan Value Return Volatility

Vulcan Value Equity GBP Acc accepts 1.9285% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vulcan Value Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Vulcan Value Investment Opportunity

Vulcan Value Equity GBP Acc has a volatility of 1.93 and is 4.39 times more volatile than DOW. 17% of all equities and portfolios are less risky than Vulcan Value. Compared to the overall equity markets, volatility of historical daily returns of Vulcan Value Equity GBP Acc is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use Vulcan Value Equity GBP Acc to enhance returns of your portfolios. The fund experiences unexpected upward trend. Watch out for market signals. Check odds of Vulcan Value to be traded at p;23052.0 in 30 days. As returns on market increase, returns on owning Vulcan Value are expected to decrease at a much smaller rate. During bear market, Vulcan Value is likely to outperform the market.

Vulcan Value correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Vulcan Value Equity GBP Acc and equity matching DJI index in the same portfolio.

Vulcan Value Volatility Indicators

Vulcan Value Equity GBP Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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