Vanguard (Ireland) Risk Analysis And Volatility Evaluation

F00000SK63 -- Ireland Fund  

GBp 10,234  22.00  0.21%

Macroaxis considers Vanguard to be unknown risk. Vanguard US Gov owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1405 which indicates Vanguard US Gov had -0.1405% 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. Vanguard US Gov Bond Index GBP Hg Acc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vanguard Coefficient Of Variation of 986.42 and Risk Adjusted Performance of 0.0838 to confirm risk estimate we provide.
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.
One Month Beta |Analyze Vanguard US Gov Demand Trend
Check current 30 days Vanguard correlation with market (DOW)
β = -0.0309
Vanguard Almost negative betaVanguard US Gov Beta Legend

Vanguard US Gov Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Vanguard Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard US Gov Bond Index GBP Hg Acc has beta of -0.0309 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. Moreover, Vanguard US Gov Bond Index GBP Hg Acc has an alpha of 0.0201 implying that it can potentially generate 0.0201% 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 Vanguard is -711.62. The daily returns are destributed with a variance of 1.07 and standard deviation of 1.04. The mean deviation of Vanguard US Gov Bond Index GBP Hg Acc is currently at 0.74. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.0201
β
Beta against DOW=0.03
σ
Overall volatility
=1.04
Ir
Information ratio =0.51

Vanguard Return Volatility

Vanguard US Gov Bond Index GBP Hg Acc accepts 1.0354% volatility on return distribution over the 30 days horizon. DOW inherits 1.0479% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vanguard Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Vanguard Investment Opportunity

DOW has a standard deviation of returns of 1.05 and is 1.01 times more volatile than Vanguard US Gov Bond Index GBP Hg Acc. 9% 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 9 (%) of all global equities and portfolios over the last 30 days. Use Vanguard US Gov Bond Index GBP Hg Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Vanguard to be traded at p;10131.66 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

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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
Search macroaxis.com