Polar Capital (Ireland) Risk Analysis And Volatility Evaluation

F00000UPXN -- Ireland Fund  

EUR 11.94  0.21  1.73%

Macroaxis considers Polar Capital to be unknown risk. Polar Capital European maintains Sharpe Ratio (i.e. Efficiency) of -0.3859 which implies Polar Capital European had -0.3859% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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. Polar Capital European exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Polar Capital European Coefficient Of Variation of 432.47 and Risk Adjusted Performance of 0.2604 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Polar Capital Market Sensitivity

As returns on market increase, returns on owning Polar Capital are expected to decrease at a much smaller rate. During bear market, Polar Capital is likely to outperform the market.
One Month Beta |Analyze Polar Capital European Demand Trend
Check current 30 days Polar Capital correlation with market (DOW)
β = -0.0509

Polar Capital Central Daily Price Deviation

Polar Capital European Technical Analysis

Transformation
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Polar Capital Projected Return Density Against Market

Assuming 30 trading days horizon, Polar Capital European Income S Acc has beta of -0.0509 suggesting as returns on benchmark increase, returns on holding Polar Capital are expected to decrease at a much smaller rate. During bear market, however, Polar Capital European Income S Acc is likely to outperform the market. Moreover, Polar Capital European Income S Acc has an alpha of 0.0951 implying that it can potentially generate 0.0951% 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 Polar Capital is -259.15. The daily returns are destributed with a variance of 1.29 and standard deviation of 1.14. The mean deviation of Polar Capital European Income S Acc is currently at 0.86. For similar time horizon, the selected benchmark (DOW) has volatility of 1.2
α
Alpha over DOW
=0.1
β
Beta against DOW=0.05
σ
Overall volatility
=1.14
Ir
Information ratio =0.20

Polar Capital Return Volatility

Polar Capital European Income S Acc accepts 1.1361% volatility on return distribution over the 30 days horizon. DOW inherits 1.225% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Polar Capital Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Polar Capital Investment Opportunity

DOW has a standard deviation of returns of 1.23 and is 1.08 times more volatile than Polar Capital European Income S Acc. 10% of all equities and portfolios are less risky than Polar Capital. Compared to the overall equity markets, volatility of historical daily returns of Polar Capital European Income S Acc is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Polar Capital European Income S Acc to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Polar Capital to be traded at €11.58 in 30 days. As returns on market increase, returns on owning Polar Capital are expected to decrease at a much smaller rate. During bear market, Polar Capital is likely to outperform the market.

Polar Capital correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Polar Capital European Income and equity matching DJI index in the same portfolio.

Polar Capital Volatility Indicators

Polar Capital European Income S Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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