Thornburg Developing (Ireland) Risk Analysis And Volatility Evaluation

F00000S50U -- Ireland Fund  

USD 10.29  0.28  2.80%

Macroaxis considers Thornburg Developing to be unknown risk. Thornburg Developing owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2101 which indicates Thornburg Developing had -0.2101% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Thornburg Developing World I USD Acc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Thornburg Developing Coefficient Of Variation of 621.12 and Risk Adjusted Performance of 0.07 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Thornburg Developing Market Sensitivity

As returns on market increase, returns on owning Thornburg Developing are expected to decrease at a much smaller rate. During bear market, Thornburg Developing is likely to outperform the market.
One Month Beta |Analyze Thornburg Developing Demand Trend
Check current 30 days Thornburg Developing correlation with market (DOW)
β = -0.3106
Thornburg Developing Almost negative betaThornburg Developing Beta Legend

Thornburg Developing Technical Analysis

Transformation
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Thornburg Developing Projected Return Density Against Market

Assuming 30 trading days horizon, Thornburg Developing World I USD Acc has beta of -0.3106 suggesting as returns on benchmark increase, returns on holding Thornburg Developing are expected to decrease at a much smaller rate. During bear market, however, Thornburg Developing World I USD Acc is likely to outperform the market. Additionally, Thornburg Developing World I USD 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 Thornburg Developing is -475.93. The daily returns are destributed with a variance of 5.16 and standard deviation of 2.27. The mean deviation of Thornburg Developing World I USD Acc is currently at 1.69. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.22
β
Beta against DOW=0.31
σ
Overall volatility
=2.27
Ir
Information ratio =0.27

Thornburg Developing Return Volatility

Thornburg Developing World I USD Acc accepts 2.271% 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

Thornburg Developing Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Thornburg Developing Investment Opportunity

Thornburg Developing World I USD Acc has a volatility of 2.27 and is 5.04 times more volatile than DOW. 20% of all equities and portfolios are less risky than Thornburg Developing. Compared to the overall equity markets, volatility of historical daily returns of Thornburg Developing World I USD Acc is lower than 20 (%) of all global equities and portfolios over the last 30 days. Use Thornburg Developing World I USD Acc to enhance returns of your portfolios. The fund experiences unexpected upward trend. Watch out for market signals. Check odds of Thornburg Developing to be traded at $12.35 in 30 days. As returns on market increase, returns on owning Thornburg Developing are expected to decrease at a much smaller rate. During bear market, Thornburg Developing is likely to outperform the market.

Thornburg Developing correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Thornburg Developing World I U and equity matching DJI index in the same portfolio.

Thornburg Developing Volatility Indicators

Thornburg Developing World I USD Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.
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