Lyxor Epsilon (Ireland) Risk Analysis And Volatility Evaluation

F00000THF0 -- Ireland Fund  

USD 1,088  24.25  2.18%

Macroaxis considers Lyxor Epsilon to be unknown risk. Lyxor Epsilon Managed has Sharpe Ratio of -0.5 which conveys that Lyxor Epsilon Managed had -0.5% 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. Lyxor Epsilon exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Lyxor Epsilon Managed Futures B USD Acc Mean Deviation of 1.32 and Risk Adjusted Performance of 0.0141 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Lyxor Epsilon Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Lyxor Epsilon will likely underperform.
One Month Beta |Analyze Lyxor Epsilon Managed Demand Trend
Check current 30 days Lyxor Epsilon correlation with market (DOW)
β = 1.2567
Lyxor Epsilon Large BetaLyxor Epsilon Managed Beta Legend

Lyxor Epsilon Managed Technical Analysis

Transformation
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Lyxor Epsilon Projected Return Density Against Market

Assuming 30 trading days horizon, the fund has beta coefficient of 1.2567 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Lyxor Epsilon will likely underperform. Additionally, Lyxor Epsilon Managed Futures B USD 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 Lyxor Epsilon is -200.0. The daily returns are destributed with a variance of 1.19 and standard deviation of 1.09. The mean deviation of Lyxor Epsilon Managed Futures B USD Acc is currently at 0.82. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.09
β
Beta against DOW=1.26
σ
Overall volatility
=1.09
Ir
Information ratio =0.03

Lyxor Epsilon Return Volatility

Lyxor Epsilon Managed Futures B USD Acc accepts 1.0906% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lyxor Epsilon Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Lyxor Epsilon Investment Opportunity

Lyxor Epsilon Managed Futures B USD Acc has a volatility of 1.09 and is 2.79 times more volatile than DOW. 9% 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 9 (%) of all global equities and portfolios over the last 30 days. Use Lyxor Epsilon Managed Futures B USD Acc to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Lyxor Epsilon to be traded at $1044.03 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Lyxor Epsilon will likely underperform.

Lyxor Epsilon correlation with market

Modest 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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