Nomura Fds (Ireland) Risk Analysis And Volatility Evaluation

F00000W7WB -- Ireland Fund  

EUR 97.78  0.45  0.46%

Macroaxis considers Nomura Fds unknown risk given 1 month investment horizon. Nomura Fds Emerg has Sharpe Ratio of 0.5774 which conveys that Nomura Fds Emerg had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By analyzing Nomura Fds Emerg technical indicators you can presently evaluate if the expected return of 0.8352% is justified by implied risk. Please exercise Nomura Fds Emerg Mrkt Lcl Ccy Mean Deviation of 0.6408 and Risk Adjusted Performance of 0.10 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Nomura Fds Market Sensitivity

As returns on market increase, returns on owning Nomura Fds are expected to decrease at a much smaller rate. During bear market, Nomura Fds is likely to outperform the market.
One Month Beta |Analyze Nomura Fds Emerg Demand Trend
Check current 30 days Nomura Fds correlation with market (DOW)
β = -0.0777
Nomura Fds Almost negative betaNomura Fds Emerg Beta Legend

Nomura Fds Emerg Technical Analysis

Transformation
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Nomura Fds Projected Return Density Against Market

Assuming 30 trading days horizon, Nomura Fds Emerg Mrkt Lcl Ccy has beta of -0.0777 suggesting as returns on benchmark increase, returns on holding Nomura Fds are expected to decrease at a much smaller rate. During bear market, however, Nomura Fds Emerg Mrkt Lcl Ccy is likely to outperform the market. Additionally, Nomura Fds Emerg Mrkt Lcl Ccy 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 Nomura Fds is 173.21. The daily returns are destributed with a variance of 2.09 and standard deviation of 1.45. The mean deviation of Nomura Fds Emerg Mrkt Lcl Ccy is currently at 1.11. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.14
β
Beta against DOW=0.08
σ
Overall volatility
=1.45
Ir
Information ratio =0.034

Nomura Fds Return Volatility

Nomura Fds Emerg Mrkt Lcl Ccy accepts 1.4466% volatility on return distribution over the 30 days horizon. DOW inherits 1.0404% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Nomura Fds Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Nomura Fds Investment Opportunity

Nomura Fds Emerg Mrkt Lcl Ccy has a volatility of 1.45 and is 1.39 times more volatile than DOW. 13% of all equities and portfolios are less risky than Nomura Fds. Compared to the overall equity markets, volatility of historical daily returns of Nomura Fds Emerg Mrkt Lcl Ccy is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Nomura Fds Emerg Mrkt Lcl Ccy to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Nomura Fds to be traded at €102.67 in 30 days. As returns on market increase, returns on owning Nomura Fds are expected to decrease at a much smaller rate. During bear market, Nomura Fds is likely to outperform the market.

Nomura Fds correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Nomura Fds Emerg Mrkt Lcl Ccy and equity matching DJI index in the same portfolio.

Nomura Fds Volatility Indicators

Nomura Fds Emerg Mrkt Lcl Ccy Current Risk Indicators

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