Vanguard Glb (Ireland) Risk Analysis And Volatility Evaluation

F00000VIK1 -- Ireland Fund  

EUR 101.59  0.80  0.79%

We consider Vanguard Glb unknown risk. Vanguard Glb Bd owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.3099 which indicates Vanguard Glb Bd had 0.3099% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 Vanguard Glb Bd Idx Inv EUR Hdg which you can use to evaluate future volatility of the fund. Please validate Vanguard Glb Coefficient Of Variation of 544.46 and Risk Adjusted Performance of 0.0638 to confirm if risk estimate we provide are consistent with the epected return of 0.1722%.
Horizon     30 Days    Login   to change

Vanguard Glb Market Sensitivity

As returns on market increase, returns on owning Vanguard Glb are expected to decrease at a much smaller rate. During bear market, Vanguard Glb is likely to outperform the market.
One Month Beta |Analyze Vanguard Glb Bd Demand Trend
Check current 30 days Vanguard Glb correlation with market (DOW)
β = -0.1318
Vanguard Glb Almost negative betaVanguard Glb Bd Beta Legend

Vanguard Glb Bd Technical Analysis

Transformation
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Vanguard Glb Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard Glb Bd Idx Inv EUR Hdg has beta of -0.1318 suggesting as returns on benchmark increase, returns on holding Vanguard Glb are expected to decrease at a much smaller rate. During bear market, however, Vanguard Glb Bd Idx Inv EUR Hdg is likely to outperform the market. Moreover, Vanguard Glb Bd Idx Inv EUR Hdg has an alpha of 0.04 implying that it can potentially generate 0.04% 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 Vanguard Glb is 322.67. The daily returns are destributed with a variance of 0.31 and standard deviation of 0.56. The mean deviation of Vanguard Glb Bd Idx Inv EUR Hdg is currently at 0.41. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.04
β
Beta against DOW=0.13
σ
Overall volatility
=0.56
Ir
Information ratio =0.97

Vanguard Glb Return Volatility

Vanguard Glb Bd Idx Inv EUR Hdg accepts 0.5557% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vanguard Glb Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Vanguard Glb Investment Opportunity

Vanguard Glb Bd Idx Inv EUR Hdg has a volatility of 0.56 and is 1.24 times more volatile than DOW. 5% of all equities and portfolios are less risky than Vanguard Glb. Compared to the overall equity markets, volatility of historical daily returns of Vanguard Glb Bd Idx Inv EUR Hdg is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use Vanguard Glb Bd Idx Inv EUR Hdg to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Vanguard Glb to be traded at €111.75 in 30 days. As returns on market increase, returns on owning Vanguard Glb are expected to decrease at a much smaller rate. During bear market, Vanguard Glb is likely to outperform the market.

Vanguard Glb correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Glb Bd Idx Inv EUR Hd and equity matching DJI index in the same portfolio.

Vanguard Glb Volatility Indicators

Vanguard Glb Bd Idx Inv EUR Hdg Current Risk Indicators

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