Lord Abbett (Ireland) Risk Analysis And Volatility Evaluation

F00000VHN7 -- Ireland Fund  

USD 9.85  0.01  0.10%

Macroaxis considers Lord Abbett to be unknown risk. Lord Abbett EM has Sharpe Ratio of -0.5774 which conveys that Lord Abbett EM had -0.5774% 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 EM Corp Dbt Z USD Mean Deviation of 0.5351 and Risk Adjusted Performance of 0.07 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Lord Abbett Market Sensitivity

As returns on market increase, Lord Abbett returns are expected to increase less than the market. However during bear market, the loss on holding Lord Abbett will be expected to be smaller as well.
One Month Beta |Analyze Lord Abbett EM Demand Trend
Check current 30 days Lord Abbett correlation with market (DOW)
β = 0.1888
Lord Abbett Small BetaLord Abbett EM Beta Legend

Lord Abbett EM Technical Analysis

Transformation
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Lord Abbett Projected Return Density Against Market

Assuming 30 trading days horizon, Lord Abbett has beta of 0.1888 suggesting as returns on market go up, Lord Abbett average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Lord Abbett EM Corp Dbt Z USD will be expected to be much smaller as well. Additionally, Lord Abbett EM Corp Dbt Z 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 -173.21. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.12. The mean deviation of Lord Abbett EM Corp Dbt Z USD is currently at 0.09. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.28
β
Beta against DOW=0.19
σ
Overall volatility
=0.12
Ir
Information ratio =0.27

Lord Abbett Return Volatility

Lord Abbett EM Corp Dbt Z USD accepts 0.117% volatility on return distribution over the 30 days horizon. DOW inherits 0.4208% 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 0.42 and is 3.5 times more volatile than Lord Abbett EM Corp Dbt Z 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 EM Corp Dbt Z USD is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Lord Abbett EM Corp Dbt Z USD to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Lord Abbett to be traded at $10.34 in 30 days. As returns on market increase, Lord Abbett returns are expected to increase less than the market. However during bear market, the loss on holding Lord Abbett will be expected to be smaller as well.

Lord Abbett correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Lord Abbett EM Corp Dbt Z USD and equity matching DJI index in the same portfolio.

Lord Abbett Volatility Indicators

Lord Abbett EM Corp Dbt Z USD Current Risk Indicators

Additionally see Investing Opportunities. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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