GAM Star (Ireland) Risk Analysis And Volatility Evaluation

F00000VD3Z -- Ireland Fund  

 1,829  17.00  0.92%

Macroaxis considers GAM Star to be unknown risk. GAM Star North holds Efficiency (Sharpe) Ratio of -0.5774 which attests that GAM Star North had -0.5774% of return per unit of risk over the last 1 month. Macroaxis approach towards determining 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. GAM Star North exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out GAM Star to validate risk estimate we provide.
 Time Horizon     30 Days    Login   to change

GAM Star Market Sensitivity

As returns on market increase, GAM Star returns are expected to increase less than the market. However during bear market, the loss on holding GAM Star will be expected to be smaller as well.
One Month Beta |Analyze GAM Star North Demand Trend
Check current 30 days GAM Star correlation with market (DOW)
β = 0.0293
GAM Star Small BetaGAM Star North Beta Legend

GAM Star North Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, GAM Star has beta of 0.0293 suggesting as returns on market go up, GAM Star average returns are expected to increase less than the benchmark. However during bear market, the loss on holding GAM Star North of South EM Eq Inst Acc will be expected to be much smaller as well. Moreover, GAM Star North of South EM Eq Inst Acc has an alpha of 0.339 implying that it can potentially generate 0.339% 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 GAM Star is -173.21. The daily returns are destributed with a variance of 0.28 and standard deviation of 0.53. The mean deviation of GAM Star North of South EM Eq Inst Acc is currently at 0.41. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.34
β
Beta against DOW=0.0293
σ
Overall volatility
=0.53
Ir
Information ratio =0.48

Actual Return Volatility

GAM Star North of South EM Eq Inst Acc accepts 0.5317% volatility on return distribution over the 30 days horizon. DOW inherits 0.5977% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

GAM Star Investment Opportunity
DOW has a standard deviation of returns of 0.6 and is 1.13 times more volatile than GAM Star North of South EM Eq Inst Acc. 4% of all equities and portfolios are less risky than GAM Star. Compared to the overall equity markets, volatility of historical daily returns of GAM Star North of South EM Eq Inst Acc is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use GAM Star North of South EM Eq Inst Acc to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of GAM Star to be traded at 1792.42 in 30 days. As returns on market increase, GAM Star returns are expected to increase less than the market. However during bear market, the loss on holding GAM Star will be expected to be smaller as well.

GAM Star correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding GAM Star North of South EM Eq and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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