Macroaxis considers E I to be unknown risk. E I Sturdza secures Sharpe Ratio (or Efficiency) of -0.3734 which denotes E I Sturdza had -0.3734% of return per unit of return volatility over the last 2 months. 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 2.0 and Mean Deviation of 1.09 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.2 Months Beta |Analyze E I Sturdza Demand TrendCheck current 30 days E I correlation with market (DOW)|
β = 0.2111
E I Central Daily Price Deviation
E I Sturdza Technical Analysis
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E I Projected Return Density Against MarketAssuming 30 trading days horizon, E I has beta of 0.2111 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 0.2992 implying that it can potentially generate 0.2992% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of E I is -267.82. The daily returns are destributed with a variance of 0.33 and standard deviation of 0.57. The mean deviation of E I Sturdza Strgc US MomentumVal Ins is currently at 0.42. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
|Alpha over DOW||=||0.30|
|Beta against DOW||=||0.21|
E I Return VolatilityE I Sturdza Strgc US MomentumVal Ins accepts 0.5711% volatility on return distribution over the 30 days horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
DOW has a standard deviation of returns of 1.29 and is 2.26 times more volatile than E I Sturdza Strgc US MomentumVal Ins. 5% 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 5 (%) of all global equities and portfolios over the last 30 days. Use E I Sturdza Strgc US MomentumVal Ins to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of E I to be traded at $623.68 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