Vulcan Value (Ireland) Risk Analysis And Volatility

F00000QJYF -- Ireland Fund  

GBp 15,879  584.00  0.04%

Our philosophy towards measuring 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 Vulcan Value Equity GBP Acc which you can use to evaluate future volatility of the fund. Please validate Vulcan Value Coefficient Of Variation of 863.55, Semi Deviation of 0.609 and Risk Adjusted Performance of 0.2148 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Vulcan Value Market Sensitivity

As returns on market increase, Vulcan Value returns are expected to increase less than the market. However during bear market, the loss on holding Vulcan Value will be expected to be smaller as well.
2 Months Beta |Analyze Vulcan Value Equity Demand Trend
Check current 30 days Vulcan Value correlation with market (DOW)
β = 0.0349

Vulcan Value Central Daily Price Deviation

Vulcan Value Equity Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Vulcan Value Projected Return Density Against Market

Assuming 30 trading days horizon, Vulcan Value has beta of 0.0349 suggesting as returns on market go up, Vulcan Value average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Vulcan Value Equity GBP Acc will be expected to be much smaller as well. Moreover, The company has an alpha of 0.1037 implying that it can potentially generate 0.1037% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.10
β
Beta against DOW=0.0349
σ
Overall volatility
=0.00
Ir
Information ratio =0.16

Vulcan Value Return Volatility

the fund accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 1.9504% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vulcan Value Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Vulcan Value Investment Opportunity

DOW has a standard deviation of returns of 1.95 and is 9.223372036854776E16 times more volatile than Vulcan Value Equity GBP Acc. 0% 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 0 (%) of all global equities and portfolios over the last 30 days. Use Vulcan Value Equity GBP Acc to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Vulcan Value to be traded at p;15720.21 in 30 days. . As returns on market increase, Vulcan Value returns are expected to increase less than the market. However during bear market, the loss on holding Vulcan Value will be expected to be smaller as well.

Vulcan Value correlation with market

correlation synergy
Significant 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 Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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