Nomura Fds (Ireland) Risk Analysis And Volatility

F00000VB9C -- Ireland Fund  

EUR 100.19  0.44  0.44%

We consider Nomura Fds unknown risk. Nomura Fds Global has Sharpe Ratio of 0.0776 which conveys that Nomura Fds Global had 0.0776% of return per unit of risk over the last 2 months. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Nomura Fds which you can use to evaluate future volatility of the organization. Please verify Nomura Fds Global Dyn Bd A H EUR Acc Mean Deviation of 0.1292 and Risk Adjusted Performance of (0.26) to check out if risk estimate we provide are consistent with the epected return of 0.0254%.
Horizon     30 Days    Login   to change

Nomura Fds Market Sensitivity

As returns on market increase, Nomura Fds returns are expected to increase less than the market. However during bear market, the loss on holding Nomura Fds will be expected to be smaller as well.
2 Months Beta |Analyze Nomura Fds Global Demand Trend
Check current 30 days Nomura Fds correlation with market (DOW)
β = 0.0044

Nomura Fds Central Daily Price Deviation

Nomura Fds Global Technical Analysis

Transformation
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Nomura Fds Projected Return Density Against Market

Assuming 30 trading days horizon, Nomura Fds has beta of 0.0044 suggesting as returns on market go up, Nomura Fds average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Nomura Fds Global Dyn Bd A H EUR Acc will be expected to be much smaller as well. Additionally, Nomura Fds Global Dyn Bd A H EUR Acc 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 Nomura Fds is 1288.57. The daily returns are destributed with a variance of 0.11 and standard deviation of 0.33. The mean deviation of Nomura Fds Global Dyn Bd A H EUR Acc is currently at 0.21. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=0.03
β
Beta against DOW=0.0044
σ
Overall volatility
=0.33
Ir
Information ratio =0.58

Nomura Fds Return Volatility

Nomura Fds Global Dyn Bd A H EUR Acc accepts 0.327% volatility on return distribution over the 30 days horizon. DOW inherits 2.0465% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Nomura Fds Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Nomura Fds Investment Opportunity

DOW has a standard deviation of returns of 2.05 and is 6.21 times more volatile than Nomura Fds Global Dyn Bd A H EUR Acc. 2% of all equities and portfolios are less risky than Nomura Fds. Compared to the overall equity markets, volatility of historical daily returns of Nomura Fds Global Dyn Bd A H EUR Acc is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Nomura Fds Global Dyn Bd A H EUR Acc to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Nomura Fds to be traded at €99.19 in 30 days. . As returns on market increase, Nomura Fds returns are expected to increase less than the market. However during bear market, the loss on holding Nomura Fds will be expected to be smaller as well.

Nomura Fds correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Nomura Fds Global Dyn Bd A H E and equity matching DJI index in the same portfolio.

Nomura Fds Volatility Indicators

Nomura Fds Global Dyn Bd A H EUR Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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