Neuberger Berman (Ireland) Risk Analysis And Volatility Evaluation

F00000UI47 -- Ireland Fund  

USD 8.26  0.06  0.72%

Macroaxis considers Neuberger Berman to be unknown risk. Neuberger Berman GlSr has Sharpe Ratio of -0.5602 which conveys that Neuberger Berman GlSr had -0.5602% of return per unit of risk over the last 2 months. 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. Neuberger Berman exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Neuberger Berman GlSr FlRt Inc USD BMInc Mean Deviation of 0.1364 and Risk Adjusted Performance of (0.50) to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Neuberger Berman Market Sensitivity

As returns on market increase, returns on owning Neuberger Berman are expected to decrease at a much smaller rate. During bear market, Neuberger Berman is likely to outperform the market.
2 Months Beta |Analyze Neuberger Berman GlSr Demand Trend
Check current 30 days Neuberger Berman correlation with market (DOW)
β = -0.0136

Neuberger Berman Central Daily Price Deviation

Neuberger Berman GlSr Technical Analysis

Transformation
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Neuberger Berman Projected Return Density Against Market

Assuming 30 trading days horizon, Neuberger Berman GlSr FlRt Inc USD BMInc has beta of -0.0136 suggesting as returns on benchmark increase, returns on holding Neuberger Berman are expected to decrease at a much smaller rate. During bear market, however, Neuberger Berman GlSr FlRt Inc USD BMInc is likely to outperform the market. Additionally, Neuberger Berman GlSr FlRt Inc USD BMInc 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 Neuberger Berman is -178.51. The daily returns are destributed with a variance of 1.59 and standard deviation of 1.26. The mean deviation of Neuberger Berman GlSr FlRt Inc USD BMInc is currently at 0.94. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.08
β
Beta against DOW=0.01
σ
Overall volatility
=1.26
Ir
Information ratio =0.46

Neuberger Berman Return Volatility

Neuberger Berman GlSr FlRt Inc USD BMInc accepts 1.2628% volatility on return distribution over the 30 days horizon. DOW inherits 1.2959% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Neuberger Berman Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Neuberger Berman Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 1.03 times more volatile than Neuberger Berman GlSr FlRt Inc USD BMInc. 11% of all equities and portfolios are less risky than Neuberger Berman. Compared to the overall equity markets, volatility of historical daily returns of Neuberger Berman GlSr FlRt Inc USD BMInc is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Neuberger Berman GlSr FlRt Inc USD BMInc to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Neuberger Berman to be traded at $8.09 in 30 days. As returns on market increase, returns on owning Neuberger Berman are expected to decrease at a much smaller rate. During bear market, Neuberger Berman is likely to outperform the market.

Neuberger Berman correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Neuberger Berman GlSr FlRt Inc and equity matching DJI index in the same portfolio.

Neuberger Berman Volatility Indicators

Neuberger Berman GlSr FlRt Inc USD BMInc Current Risk Indicators

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