Polar UK (Ireland) Risk Analysis And Volatility Evaluation

F00000UHSY -- Ireland Fund  

EUR 25.71  0.30  1.15%

Macroaxis considers Polar UK unknown risk given 1 month investment horizon. Polar UK Absolute maintains Sharpe Ratio (i.e. Efficiency) of 0.5 which implies Polar UK Absolute had 0.5% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By analyzing Polar UK Absolute technical indicators you can presently evaluate if the expected return of 0.7719% is justified by implied risk. Please employ Polar UK Absolute Coefficient Of Variation of 7,020 and Risk Adjusted Performance of 0.003467 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Polar UK Market Sensitivity

As returns on market increase, Polar UK returns are expected to increase less than the market. However during bear market, the loss on holding Polar UK will be expected to be smaller as well.
One Month Beta |Analyze Polar UK Absolute Demand Trend
Check current 30 days Polar UK correlation with market (DOW)
β = 0.1283
Polar UK Small BetaPolar UK Absolute Beta Legend

Polar UK Absolute Technical Analysis

Transformation
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Polar UK Projected Return Density Against Market

Assuming 30 trading days horizon, Polar UK has beta of 0.1283 suggesting as returns on market go up, Polar UK average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Polar UK Absolute Equity S Euro will be expected to be much smaller as well. Additionally, Polar UK Absolute Equity S Euro 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 Polar UK is 200.0. The daily returns are destributed with a variance of 2.38 and standard deviation of 1.54. The mean deviation of Polar UK Absolute Equity S Euro is currently at 1.16. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.04
β
Beta against DOW=0.13
σ
Overall volatility
=1.54
Ir
Information ratio =0.29

Polar UK Return Volatility

Polar UK Absolute Equity S Euro accepts 1.5437% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Polar UK Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Polar UK Investment Opportunity

Polar UK Absolute Equity S Euro has a volatility of 1.54 and is 3.5 times more volatile than DOW. 14% of all equities and portfolios are less risky than Polar UK. Compared to the overall equity markets, volatility of historical daily returns of Polar UK Absolute Equity S Euro is lower than 14 (%) of all global equities and portfolios over the last 30 days. Use Polar UK Absolute Equity S Euro to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Polar UK to be traded at €24.94 in 30 days. As returns on market increase, Polar UK returns are expected to increase less than the market. However during bear market, the loss on holding Polar UK will be expected to be smaller as well.

Polar UK correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Polar UK Absolute Equity S Eur and equity matching DJI index in the same portfolio.

Polar UK Volatility Indicators

Polar UK Absolute Equity S Euro Current Risk Indicators

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