Vanguard US (Ireland) Risk Analysis And Volatility Evaluation

F00000SK63 -- Ireland Fund  

GBp 10,431  28.00  0.27%

Macroaxis considers Vanguard US unknown risk given 1 month investment horizon. Vanguard US Gov owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.9981 which indicates Vanguard US Gov had 0.9981% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Vanguard US Gov Bond Index GBP Hg Acc which you can use to evaluate future volatility of the fund. Please operate Vanguard US Coefficient Of Variation of 4,112 and Risk Adjusted Performance of 0.022168 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Vanguard US Market Sensitivity

As returns on market increase, returns on owning Vanguard US are expected to decrease at a much smaller rate. During bear market, Vanguard US is likely to outperform the market.
One Month Beta |Analyze Vanguard US Gov Demand Trend
Check current 30 days Vanguard US correlation with market (DOW)
β = -0.0088
Vanguard US Almost negative betaVanguard US Gov Beta Legend

Vanguard US Gov Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard US Gov Bond Index GBP Hg Acc has beta of -0.0088 suggesting as returns on benchmark increase, returns on holding Vanguard US 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 US is 100.19. The daily returns are destributed with a variance of 0.07 and standard deviation of 0.27. The mean deviation of Vanguard US Gov Bond Index GBP Hg Acc is currently at 0.18. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.02
β
Beta against DOW=0.0088
σ
Overall volatility
=0.27
Ir
Information ratio =0.44

Actual Return Volatility

Vanguard US Gov Bond Index GBP Hg Acc accepts 0.2699% volatility on return distribution over the 30 days horizon. DOW inherits 0.5964% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vanguard US Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Vanguard US Investment Opportunity
DOW has a standard deviation of returns of 0.6 and is 2.22 times more volatile than Vanguard US Gov Bond Index GBP Hg Acc. 2% of all equities and portfolios are less risky than Vanguard US. Compared to the overall equity markets, volatility of historical daily returns of Vanguard US Gov Bond Index GBP Hg Acc is lower than 2 (%) 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 US to be traded at p;10326.69 in 30 days. As returns on market increase, returns on owning Vanguard US are expected to decrease at a much smaller rate. During bear market, Vanguard US is likely to outperform the market.

Vanguard US 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.

Volatility Indicators

Vanguard US Current Risk Indicators
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