Algebris Financial (Ireland) Risk Analysis And Volatility Evaluation

F00000QTIP -- Ireland Fund  

EUR 133.70  0.26  0.19%

Macroaxis considers Algebris Financial to be unknown risk. Algebris Financial C secures Sharpe Ratio (or Efficiency) of -0.0129 which signifies that Algebris Financial C had -0.0129% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in foreseeing 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. Algebris Financial Credit R EUR Acc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Algebris Financial C Mean Deviation of 0.4473 and Risk Adjusted Performance of 0.0074 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Algebris Financial Market Sensitivity

As returns on market increase, Algebris Financial returns are expected to increase less than the market. However during bear market, the loss on holding Algebris Financial will be expected to be smaller as well.
One Month Beta |Analyze Algebris Financial C Demand Trend
Check current 30 days Algebris Financial correlation with market (DOW)
β = 0.0249
Algebris Financial Small BetaAlgebris Financial C Beta Legend

Algebris Financial C Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Algebris Financial has beta of 0.0249 suggesting as returns on market go up, Algebris Financial average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Algebris Financial Credit R EUR Acc will be expected to be much smaller as well. Additionally, Algebris Financial Credit R EUR 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 Algebris Financial is -7743.01. The daily returns are destributed with a variance of 1.5 and standard deviation of 1.23. The mean deviation of Algebris Financial Credit R EUR Acc is currently at 0.78. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.0078
β
Beta against DOW=0.0249
σ
Overall volatility
=1.23
Ir
Information ratio =0.13

Actual Return Volatility

Algebris Financial Credit R EUR Acc accepts 1.2263% volatility on return distribution over the 30 days horizon. DOW inherits 0.6284% 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
Algebris Financial Credit R EUR Acc has a volatility of 1.23 and is 1.95 times more volatile than DOW. 11% 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 11 (%) of all global equities and portfolios over the last 30 days. Use Algebris Financial Credit R EUR Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Algebris Financial to be traded at €132.36 in 30 days. As returns on market increase, Algebris Financial returns are expected to increase less than the market. However during bear market, the loss on holding Algebris Financial will be expected to be smaller as well.

Algebris Financial correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Algebris Financial Credit R EU and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.