Payden USD (Ireland) Risk Analysis And Volatility Evaluation

F00000SGGM -- Ireland Fund  

USD 11.03  0.02  0.18%

Macroaxis considers Payden USD to be unknown risk. Payden USD Low maintains Sharpe Ratio (i.e. Efficiency) of -0.5774 which implies Payden USD Low had -0.5774% of return per unit of risk over the last 2 months. Macroaxis philosophy towards forecasting 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. Payden USD Low exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Payden USD Low Coefficient Of Variation of 303.01 and Risk Adjusted Performance of 0.4077 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Payden USD Market Sensitivity

As returns on market increase, Payden USD returns are expected to increase less than the market. However during bear market, the loss on holding Payden USD will be expected to be smaller as well.
2 Months Beta |Analyze Payden USD Low Demand Trend
Check current 30 days Payden USD correlation with market (DOW)
β = 0.0456

Payden USD Central Daily Price Deviation

Payden USD Low Technical Analysis

Transformation
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Payden USD Projected Return Density Against Market

Assuming 30 trading days horizon, Payden USD has beta of 0.0456 suggesting as returns on market go up, Payden USD average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Payden USD Low Duration Credit USD Acc will be expected to be much smaller as well. Moreover, Payden USD Low Duration Credit USD Acc has an alpha of 0.0757 implying that it can potentially generate 0.0757% 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 Payden USD is -173.21. The daily returns are destributed with a variance of 0.04 and standard deviation of 0.21. The mean deviation of Payden USD Low Duration Credit USD Acc is currently at 0.16. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.08
β
Beta against DOW=0.0456
σ
Overall volatility
=0.21
Ir
Information ratio =0.99

Payden USD Return Volatility

Payden USD Low Duration Credit USD Acc accepts 0.2086% volatility on return distribution over the 30 days horizon. DOW inherits 1.2959% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Payden USD Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Payden USD Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 6.19 times more volatile than Payden USD Low Duration Credit USD Acc. 1% of all equities and portfolios are less risky than Payden USD. Compared to the overall equity markets, volatility of historical daily returns of Payden USD Low Duration Credit USD Acc is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Payden USD Low Duration Credit USD Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Payden USD to be traded at $10.92 in 30 days. As returns on market increase, Payden USD returns are expected to increase less than the market. However during bear market, the loss on holding Payden USD will be expected to be smaller as well.

Payden USD correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Payden USD Low Duration Credit and equity matching DJI index in the same portfolio.

Payden USD Volatility Indicators

Payden USD Low Duration Credit USD Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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