Vanguard (Ireland) Risk Analysis And Volatility Evaluation

F00000SK63 -- Ireland Fund  

GBp 10,444  10.00  0.1%

Macroaxis considers Vanguard unknown risk given 2 months investment horizon. Vanguard US Gov owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5774 which indicates Vanguard US Gov had 0.5774% of return per unit of risk over the last 2 months. Our philosophy towards measuring volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By inspecting Vanguard US Gov technical indicators you can presently evaluate if the expected return of 0.6574% is justified by implied risk. Please operate Vanguard Coefficient Of Variation of (2,704) and Risk Adjusted Performance of (0.08) to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Vanguard Market Sensitivity

As returns on market increase, returns on owning Vanguard are expected to decrease at a much smaller rate. During bear market, Vanguard is likely to outperform the market.
2 Months Beta |Analyze Vanguard US Gov Demand Trend
Check current 30 days Vanguard correlation with market (DOW)
β = -0.0062

Vanguard Central Daily Price Deviation

Vanguard US Gov Technical Analysis

Transformation
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Vanguard Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard US Gov Bond Index GBP Hg Acc has beta of -0.0062 suggesting as returns on benchmark increase, returns on holding Vanguard are expected to decrease at a much smaller rate. During bear market, however, Vanguard US Gov Bond Index GBP Hg Acc is likely to outperform the market. Additionally, Vanguard US Gov Bond Index GBP Hg 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 Vanguard is 173.21. The daily returns are destributed with a variance of 1.3 and standard deviation of 1.14. The mean deviation of Vanguard US Gov Bond Index GBP Hg Acc is currently at 0.88. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.02
β
Beta against DOW=0.0062
σ
Overall volatility
=1.14
Ir
Information ratio =0.28

Vanguard Return Volatility

Vanguard US Gov Bond Index GBP Hg Acc accepts 1.1387% volatility on return distribution over the 30 days horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vanguard Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Vanguard Investment Opportunity

DOW has a standard deviation of returns of 1.29 and is 1.13 times more volatile than Vanguard US Gov Bond Index GBP Hg Acc. 10% of all equities and portfolios are less risky than Vanguard. Compared to the overall equity markets, volatility of historical daily returns of Vanguard US Gov Bond Index GBP Hg Acc is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Vanguard US Gov Bond Index GBP Hg Acc to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Vanguard to be traded at p;10966.2 in 30 days. As returns on market increase, returns on owning Vanguard are expected to decrease at a much smaller rate. During bear market, Vanguard is likely to outperform the market.

Vanguard correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Vanguard US Gov Bond Index GBP and equity matching DJI index in the same portfolio.

Vanguard Volatility Indicators

Vanguard US Gov Bond Index GBP Hg Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.
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