Lord Abbett (Ireland) Risk Analysis And Volatility Evaluation

F00000VHMW -- Ireland Fund  

USD 10.60  0.02  0.19%

Macroaxis considers Lord Abbett to be unknown risk. Lord Abbett Multi has Sharpe Ratio of -0.7071 which conveys that Lord Abbett Multi had -0.7071% of return per unit of risk over the last 1 month. 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. Lord Abbett exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Lord Abbett Multi Sector N USD Mean Deviation of 0.2235 and Risk Adjusted Performance of 0.039479 to check out risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Lord Abbett Market Sensitivity

As returns on market increase, returns on owning Lord Abbett are expected to decrease at a much smaller rate. During bear market, Lord Abbett is likely to outperform the market.
One Month Beta |Analyze Lord Abbett Multi Demand Trend
Check current 30 days Lord Abbett correlation with market (DOW)
β = -0.0594
Lord Abbett Almost negative betaLord Abbett Multi Beta Legend

Lord Abbett Multi Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Lord Abbett Multi Sector N USD has beta of -0.0594 suggesting as returns on benchmark increase, returns on holding Lord Abbett are expected to decrease at a much smaller rate. During bear market, however, Lord Abbett Multi Sector N USD is likely to outperform the market. Additionally, Lord Abbett Multi Sector N USD 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 Lord Abbett is -141.42. The daily returns are destributed with a variance of 0.04 and standard deviation of 0.2. The mean deviation of Lord Abbett Multi Sector N USD is currently at 0.14. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.05
β
Beta against DOW=0.06
σ
Overall volatility
=0.20
Ir
Information ratio =0.11

Actual Return Volatility

Lord Abbett Multi Sector N USD accepts 0.1995% volatility on return distribution over the 30 days horizon. DOW inherits 0.4461% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lord Abbett Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Lord Abbett Investment Opportunity
DOW has a standard deviation of returns of 0.45 and is 2.25 times more volatile than Lord Abbett Multi Sector N USD. 1% of all equities and portfolios are less risky than Lord Abbett. Compared to the overall equity markets, volatility of historical daily returns of Lord Abbett Multi Sector N USD is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Lord Abbett Multi Sector N USD to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Lord Abbett to be traded at $11.13 in 30 days. As returns on market increase, returns on owning Lord Abbett are expected to decrease at a much smaller rate. During bear market, Lord Abbett is likely to outperform the market.

Lord Abbett correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Lord Abbett Multi Sector Inc N and equity matching DJI index in the same portfolio.

Volatility Indicators

Lord Abbett Current Risk Indicators
Additionally see Investing Opportunities. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.