Muzinich Europeyield (Ireland) Risk Analysis And Volatility Evaluation

F00000SBVY -- Ireland Fund  

EUR 127.81  0.38  0.30%

We consider Muzinich Europeyield unknown risk. Muzinich Europeyield has Sharpe Ratio of 0.5774 which conveys that Muzinich Europeyield had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards estimating 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 Muzinich Europeyield which you can use to evaluate future volatility of the organization. Please verify Muzinich Europeyield H EUR Hdg Acc Mean Deviation of 0.0414 and Risk Adjusted Performance of 0.1319 to check out if risk estimate we provide are consistent with the epected return of 0.0994%.
Horizon     30 Days    Login   to change

Muzinich Europeyield Market Sensitivity

As returns on market increase, Muzinich Europeyield returns are expected to increase less than the market. However during bear market, the loss on holding Muzinich Europeyield will be expected to be smaller as well.
One Month Beta |Analyze Muzinich Europeyield Demand Trend
Check current 30 days Muzinich Europeyield correlation with market (DOW)
β = 2.0E-4
Muzinich Europeyield Small BetaMuzinich Europeyield Beta Legend

Muzinich Europeyield Technical Analysis

Transformation
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Muzinich Europeyield Projected Return Density Against Market

Assuming 30 trading days horizon, Muzinich Europeyield has beta of 2.0E-4 suggesting as returns on market go up, Muzinich Europeyield average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Muzinich Europeyield H EUR Hdg Acc will be expected to be much smaller as well. Moreover, Muzinich Europeyield H EUR Hdg Acc has an alpha of 0.0152 implying that it can potentially generate 0.0152% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Muzinich Europeyield is 173.21. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.17. The mean deviation of Muzinich Europeyield H EUR Hdg Acc is currently at 0.13. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0152
β
Beta against DOW=0.0002
σ
Overall volatility
=0.17
Ir
Information ratio =2.65

Muzinich Europeyield Return Volatility

Muzinich Europeyield H EUR Hdg Acc accepts 0.1722% volatility on return distribution over the 30 days horizon. DOW inherits 0.4529% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Muzinich Europeyield Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Muzinich Europeyield Investment Opportunity

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

Muzinich Europeyield Volatility Indicators

Muzinich Europeyield H EUR Hdg Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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