Neuberger Berman (Ireland) Risk Analysis And Volatility Evaluation

F00000T4JV -- Ireland Fund  

EUR 9.39  0.08  0.84%

Macroaxis considers Neuberger Berman to be unknown risk. Neuberger Berman Abs has Sharpe Ratio of -0.4472 which conveys that Neuberger Berman Abs had -0.4472% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Neuberger Berman exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Neuberger Berman AbsRetMltStrt EUR I Acc Mean Deviation of 0.1168 and Risk Adjusted Performance of 0.1171 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Neuberger Berman Market Sensitivity

As returns on market increase, returns on owning Neuberger Berman are expected to decrease at a much smaller rate. During bear market, Neuberger Berman is likely to outperform the market.
One Month Beta |Analyze Neuberger Berman Abs Demand Trend
Check current 30 days Neuberger Berman correlation with market (DOW)
β = -0.0702
Neuberger Berman Almost negative betaNeuberger Berman Abs Beta Legend

Neuberger Berman Abs Technical Analysis

Transformation
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Neuberger Berman Projected Return Density Against Market

Assuming 30 trading days horizon, Neuberger Berman AbsRetMltStrt EUR I Acc has beta of -0.0702 suggesting as returns on benchmark increase, returns on holding Neuberger Berman are expected to decrease at a much smaller rate. During bear market, however, Neuberger Berman AbsRetMltStrt EUR I Acc is likely to outperform the market. Moreover, Neuberger Berman AbsRetMltStrt EUR I Acc has an alpha of 0.0507 implying that it can potentially generate 0.0507% 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 Neuberger Berman is -223.61. The daily returns are destributed with a variance of 0.14 and standard deviation of 0.38. The mean deviation of Neuberger Berman AbsRetMltStrt EUR I Acc is currently at 0.27. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.05
β
Beta against DOW=0.07
σ
Overall volatility
=0.38
Ir
Information ratio =0.77

Neuberger Berman Return Volatility

Neuberger Berman AbsRetMltStrt EUR I Acc accepts 0.3778% 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

Neuberger Berman Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Neuberger Berman Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 1.18 times more volatile than Neuberger Berman AbsRetMltStrt EUR I Acc. 3% of all equities and portfolios are less risky than Neuberger Berman. Compared to the overall equity markets, volatility of historical daily returns of Neuberger Berman AbsRetMltStrt EUR I Acc is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use Neuberger Berman AbsRetMltStrt EUR I Acc to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Neuberger Berman to be traded at €9.2 in 30 days. As returns on market increase, returns on owning Neuberger Berman are expected to decrease at a much smaller rate. During bear market, Neuberger Berman is likely to outperform the market.

Neuberger Berman correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Neuberger Berman AbsRetMltStrt and equity matching DJI index in the same portfolio.

Neuberger Berman Volatility Indicators

Neuberger Berman AbsRetMltStrt EUR I Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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