Lord Abbett (Ireland) Risk Analysis And Volatility Evaluation

F00000VHN8 -- Ireland Fund  

USD 11.52  0.02  0.17%

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 2 months. 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 Acc Mean Deviation of 0.187 and Risk Adjusted Performance of (0.23) to check out risk estimate we provide.
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.
2 Months Beta |Analyze Lord Abbett EM Demand Trend
Check current 30 days Lord Abbett correlation with market (DOW)
β = -0.0267

Lord Abbett Central Daily Price Deviation

Lord Abbett EM Technical Analysis

Transformation
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Lord Abbett Projected Return Density Against Market

Assuming 30 trading days horizon, Lord Abbett EM Corp Dbt Z USD Acc has beta of -0.0267 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 EM Corp Dbt Z USD Acc is likely to outperform the market. Additionally, Lord Abbett EM Corp Dbt Z USD 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 Lord Abbett is -173.21. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.1. The mean deviation of Lord Abbett EM Corp Dbt Z USD Acc is currently at 0.08. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.08
β
Beta against DOW=0.03
σ
Overall volatility
=0.10
Ir
Information ratio =0.24

Lord Abbett Return Volatility

Lord Abbett EM Corp Dbt Z USD Acc accepts 0.1001% volatility on return distribution over the 30 days horizon. DOW inherits 1.3173% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lord Abbett Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Lord Abbett Investment Opportunity

DOW has a standard deviation of returns of 1.32 and is 13.2 times more volatile than Lord Abbett EM Corp Dbt Z USD Acc. 0% 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 Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Lord Abbett EM Corp Dbt Z USD Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Lord Abbett to be traded at $11.4 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

correlation synergy
Good 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 Acc Current Risk Indicators

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