Vulcan Value (Ireland) Risk Analysis And Volatility Evaluation

F00000QJYF -- Ireland Fund  

GBp 19,293  129.00  0.67%

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 529.2 and Risk Adjusted Performance of 0.171 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, 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 = -0.0321

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 Equity GBP Acc has beta of -0.0321 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. Moreover, Vulcan Value Equity GBP Acc has an alpha of 0.0203 implying that it can potentially generate 0.0203% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0203
β
Beta against DOW=0.03
σ
Overall volatility
=0.00
Ir
Information ratio =0.79

Vulcan Value Return Volatility

Vulcan Value Equity GBP Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2054% 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

Insignificant

Investment Outlook

Vulcan Value Investment Opportunity

DOW has a standard deviation of returns of 1.21 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 enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Vulcan Value to be traded at p;21222.3 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

correlation synergy
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

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