E I (Ireland) Risk Analysis And Volatility Evaluation

F00000TWY9 -- Ireland Fund  

USD 608.62  9.66  1.56%

Macroaxis considers E I to be unknown risk. E I Sturdza secures Sharpe Ratio (or Efficiency) of -0.0735 which denotes E I Sturdza had -0.0735% of return per unit of return volatility over the last 1 month. Macroaxis philosophy in predicting 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. E I Sturdza Strgc US MomentumVal Ins exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm E I Sturdza Downside Deviation of 2.23 and Mean Deviation of 1.14 to check risk estimate we provide.
Horizon     30 Days    Login   to change

E I Market Sensitivity

As returns on market increase, E I returns are expected to increase less than the market. However during bear market, the loss on holding E I will be expected to be smaller as well.
One Month Beta |Analyze E I Sturdza Demand Trend
Check current 30 days E I correlation with market (DOW)
β = 0.0196
E I Small BetaE I Sturdza Beta Legend

E I Sturdza Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

E I Projected Return Density Against Market

Assuming 30 trading days horizon, E I has beta of 0.0196 suggesting as returns on market go up, E I average returns are expected to increase less than the benchmark. However during bear market, the loss on holding E I Sturdza Strgc US MomentumVal Ins will be expected to be much smaller as well. Moreover, E I Sturdza Strgc US MomentumVal Ins has an alpha of 0.2273 implying that it can potentially generate 0.2273% 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 E I is -1360.84. The daily returns are destributed with a variance of 4.22 and standard deviation of 2.05. The mean deviation of E I Sturdza Strgc US MomentumVal Ins is currently at 1.46. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
=0.23
β
Beta against DOW=0.0196
σ
Overall volatility
=2.05
Ir
Information ratio =0.12

E I Return Volatility

E I Sturdza Strgc US MomentumVal Ins accepts 2.0544% volatility on return distribution over the 30 days horizon. DOW inherits 1.0678% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

E I Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

E I Investment Opportunity

E I Sturdza Strgc US MomentumVal Ins has a volatility of 2.05 and is 1.92 times more volatile than DOW. 18% of all equities and portfolios are less risky than E I. Compared to the overall equity markets, volatility of historical daily returns of E I Sturdza Strgc US MomentumVal Ins is lower than 18 (%) of all global equities and portfolios over the last 30 days. Use E I Sturdza Strgc US MomentumVal Ins to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of E I to be traded at $590.36 in 30 days. As returns on market increase, E I returns are expected to increase less than the market. However during bear market, the loss on holding E I will be expected to be smaller as well.

E I correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding E I Sturdza Strgc US MomentumV and equity matching DJI index in the same portfolio.

E I Volatility Indicators

E I Sturdza Strgc US MomentumVal Ins 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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