Algebris Financial (Ireland) Risk Analysis And Volatility Evaluation

F00000QTIP -- Ireland Fund  

EUR 134.70  0.43  0.32%

We consider Algebris Financial unknown risk. Algebris Financial secures Sharpe Ratio (or Efficiency) of 0.393 which signifies that Algebris Financial had 0.393% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing 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 Algebris Financial Credit R EUR Acc which you can use to evaluate future volatility of the entity. Please confirm Algebris Financial to double-check if risk estimate we provide are consistent with the epected return of 0.0671%.
Horizon     30 Days    Login   to change

Algebris Financial Technical Analysis

Transformation
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Algebris Financial Projected Return Density Against Market

Assuming 30 trading days horizon, Algebris Financial has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Algebris Financial are completely uncorrelated. Furthermore, Algebris Financial Credit R EUR AccIt does not look like Algebris Financial alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Algebris Financial is 254.45. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.17. The mean deviation of Algebris Financial Credit R EUR Acc is currently at 0.13. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.17
Ir
Information ratio =0.00

Algebris Financial Return Volatility

Algebris Financial Credit R EUR Acc accepts 0.1706% 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

Algebris Financial Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Algebris Financial Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 2.65 times more volatile than Algebris Financial Credit R EUR Acc. 1% of all equities and portfolios are less risky than Algebris Financial. Compared to the overall equity markets, volatility of historical daily returns of Algebris Financial Credit R EUR Acc is lower than 1 (%) of all global equities and portfolios over the last 30 days.

Algebris Financial Volatility Indicators

Algebris Financial Credit R EUR Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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