Nedgroup Inv (Ireland) Risk Analysis And Volatility Evaluation

F00000VU7S -- Ireland Fund  

GBp 104.00  1.00  0.95%

Macroaxis considers Nedgroup Inv to be unknown risk. Nedgroup Inv Funds has Sharpe Ratio of -0.5774 which conveys that Nedgroup Inv Funds 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. Nedgroup Inv exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Nedgroup Inv Funds Global Cautious C H Mean Deviation of 0.4545 and Risk Adjusted Performance of 0.0646 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Nedgroup Inv Market Sensitivity

As returns on market increase, returns on owning Nedgroup Inv are expected to decrease at a much smaller rate. During bear market, Nedgroup Inv is likely to outperform the market.
One Month Beta |Analyze Nedgroup Inv Funds Demand Trend
Check current 30 days Nedgroup Inv correlation with market (DOW)
β = -0.0077
Nedgroup Inv Almost negative betaNedgroup Inv Funds Beta Legend

Nedgroup Inv Funds Technical Analysis

Transformation
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Nedgroup Inv Projected Return Density Against Market

Assuming 30 trading days horizon, Nedgroup Inv Funds Global Cautious C H has beta of -0.0077 suggesting as returns on benchmark increase, returns on holding Nedgroup Inv are expected to decrease at a much smaller rate. During bear market, however, Nedgroup Inv Funds Global Cautious C H is likely to outperform the market. Moreover, Nedgroup Inv Funds Global Cautious C H has an alpha of 0.0391 implying that it can potentially generate 0.0391% 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 Nedgroup Inv is -173.21. The daily returns are destributed with a variance of 2.62 and standard deviation of 1.62. The mean deviation of Nedgroup Inv Funds Global Cautious C H is currently at 1.25. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
=0.0391
β
Beta against DOW=0.0077
σ
Overall volatility
=1.62
Ir
Information ratio =0.18

Nedgroup Inv Return Volatility

Nedgroup Inv Funds Global Cautious C H accepts 1.6187% volatility on return distribution over the 30 days horizon. DOW inherits 1.0678% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Nedgroup Inv Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Nedgroup Inv Investment Opportunity

Nedgroup Inv Funds Global Cautious C H has a volatility of 1.62 and is 1.51 times more volatile than DOW. 14% of all equities and portfolios are less risky than Nedgroup Inv. Compared to the overall equity markets, volatility of historical daily returns of Nedgroup Inv Funds Global Cautious C H is lower than 14 (%) of all global equities and portfolios over the last 30 days. Use Nedgroup Inv Funds Global Cautious C H to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Nedgroup Inv to be traded at p;101.92 in 30 days. As returns on market increase, returns on owning Nedgroup Inv are expected to decrease at a much smaller rate. During bear market, Nedgroup Inv is likely to outperform the market.

Nedgroup Inv correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Nedgroup Inv Funds Global Caut and equity matching DJI index in the same portfolio.

Nedgroup Inv Volatility Indicators

Nedgroup Inv Funds Global Cautious C H Current Risk Indicators

Additionally see Investing Opportunities. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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