Vanguard Glb (Ireland) Risk Analysis And Volatility Evaluation

F00000VIK1 -- Ireland Fund  

EUR 101.43  0.42  0.41%

Macroaxis considers Vanguard Glb to be unknown risk. Vanguard Glb Bd owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5 which indicates Vanguard Glb Bd had -0.5% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Vanguard Glb Bd Idx Inv EUR Hdg exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vanguard Glb Coefficient Of Variation of 221.7 and Risk Adjusted Performance of 0.1344 to confirm risk estimate we provide.
 Time 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 = -0.0048
Vanguard Glb Almost negative betaVanguard Glb Bd Beta Legend

Vanguard Glb Bd Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard Glb Bd Idx Inv EUR Hdg has beta of -0.0048 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 0.0152 implying that it can potentially generate 0.0152% 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 -200.0. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.14. The mean deviation of Vanguard Glb Bd Idx Inv EUR Hdg is currently at 0.11. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.0152
β
Beta against DOW=0.0048
σ
Overall volatility
=0.14
Ir
Information ratio =1.8

Actual Return Volatility

Vanguard Glb Bd Idx Inv EUR Hdg accepts 0.1426% volatility on return distribution over the 30 days horizon. DOW inherits 0.5115% 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
DOW has a standard deviation of returns of 0.51 and is 3.64 times more volatile than Vanguard Glb Bd Idx Inv EUR Hdg. 1% 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 1 (%) of all global equities and portfolios over the last 30 days. Use Vanguard Glb Bd Idx Inv EUR Hdg to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Vanguard Glb to be traded at €100.42 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

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.
Additionally see Investing Opportunities. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.
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