BNY Mellon (Ireland) Risk Analysis And Volatility Evaluation

F00000TOU7 -- Ireland Fund  

USD 1.27  0.00  0.00%

Macroaxis considers BNY Mellon to be unknown risk. BNY Mellon US secures Sharpe Ratio (or Efficiency) of -0.5774 which signifies that BNY Mellon US had -0.5774% of return per unit of volatility over the last 2 months. Macroaxis approach towards foreseeing 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. BNY Mellon US Opportunities C USD exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BNY Mellon US Risk Adjusted Performance of 0.1693 and Mean Deviation of 0.2152 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

BNY Mellon Market Sensitivity

As returns on market increase, BNY Mellon returns are expected to increase less than the market. However during bear market, the loss on holding BNY Mellon will be expected to be smaller as well.
2 Months Beta |Analyze BNY Mellon US Demand Trend
Check current 30 days BNY Mellon correlation with market (DOW)
β = 0.0351

BNY Mellon Central Daily Price Deviation

BNY Mellon US Technical Analysis

Transformation
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BNY Mellon Projected Return Density Against Market

Assuming 30 trading days horizon, BNY Mellon has beta of 0.0351 suggesting as returns on market go up, BNY Mellon average returns are expected to increase less than the benchmark. However during bear market, the loss on holding BNY Mellon US Opportunities C USD will be expected to be much smaller as well. Moreover, BNY Mellon US Opportunities C USD has an alpha of 0.0757 implying that it can potentially generate 0.0757% 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 BNY Mellon is -173.21. The daily returns are destributed with a variance of 1.78 and standard deviation of 1.33. The mean deviation of BNY Mellon US Opportunities C USD is currently at 1.03. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.08
β
Beta against DOW=0.0351
σ
Overall volatility
=1.33
Ir
Information ratio =0.39

BNY Mellon Return Volatility

BNY Mellon US Opportunities C USD accepts 1.3324% volatility on return distribution over the 30 days horizon. DOW inherits 1.3105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BNY Mellon Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

BNY Mellon Investment Opportunity

BNY Mellon US Opportunities C USD has a volatility of 1.33 and is 1.02 times more volatile than DOW. 12% of all equities and portfolios are less risky than BNY Mellon. Compared to the overall equity markets, volatility of historical daily returns of BNY Mellon US Opportunities C USD is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use BNY Mellon US Opportunities C USD to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of BNY Mellon to be traded at $1.2573 in 30 days. As returns on market increase, BNY Mellon returns are expected to increase less than the market. However during bear market, the loss on holding BNY Mellon will be expected to be smaller as well.

BNY Mellon correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding BNY Mellon US Opportunities C and equity matching DJI index in the same portfolio.

BNY Mellon Volatility Indicators

BNY Mellon US Opportunities C USD Current Risk Indicators

Additionally see Investing Opportunities. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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