Lyxor Epsilon (Ireland) Risk Analysis And Volatility

F00000THF0 -- Ireland Fund  

USD 994.81  16.21  1.66%

Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Lyxor Epsilon which you can use to evaluate future volatility of the organization. Please verify Lyxor Epsilon Managed Futures B USD Acc Mean Deviation of 1.29 and Risk Adjusted Performance of (0.06) to check out if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Lyxor Epsilon Market Sensitivity

As returns on market increase, Lyxor Epsilon returns are expected to increase less than the market. However during bear market, the loss on holding Lyxor Epsilon will be expected to be smaller as well.
2 Months Beta |Analyze Lyxor Epsilon Managed Demand Trend
Check current 30 days Lyxor Epsilon correlation with market (DOW)
β = 0.0345

Lyxor Epsilon Central Daily Price Deviation

Lyxor Epsilon Managed Technical Analysis

Transformation
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Lyxor Epsilon Projected Return Density Against Market

Assuming 30 trading days horizon, Lyxor Epsilon has beta of 0.0345 suggesting as returns on market go up, Lyxor Epsilon average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Lyxor Epsilon Managed Futures B USD Acc will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Lyxor Epsilon Managed is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.2
β
Beta against DOW=0.0345
σ
Overall volatility
=0.00
Ir
Information ratio =0.17

Lyxor Epsilon Return Volatility

the fund accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 0.6355% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lyxor Epsilon Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Lyxor Epsilon Investment Opportunity

DOW has a standard deviation of returns of 0.64 and is 9.223372036854776E16 times more volatile than Lyxor Epsilon Managed Futures B USD Acc. 0% of all equities and portfolios are less risky than Lyxor Epsilon. Compared to the overall equity markets, volatility of historical daily returns of Lyxor Epsilon Managed Futures B USD Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Lyxor Epsilon Managed Futures B USD Acc to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Lyxor Epsilon to be traded at $1094.29 in 30 days. . As returns on market increase, Lyxor Epsilon returns are expected to increase less than the market. However during bear market, the loss on holding Lyxor Epsilon will be expected to be smaller as well.

Lyxor Epsilon correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Epsilon Managed Futures and equity matching DJI index in the same portfolio.

Lyxor Epsilon Volatility Indicators

Lyxor Epsilon Managed Futures B 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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