Tokio Marine (Ireland) Risk Analysis And Volatility Evaluation

F00000W8XM -- Ireland Fund  

USD 114.62  1.46  1.26%

Tokio Marine is unknown risk given 1 month investment horizon. Tokio Marine Japanese owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.289 which indicates Tokio Marine Japanese had 0.289% of return per unit of risk over the last 1 month. Our philosophy towards measuring risk of a fund is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.2837% are justified by taking the suggested risk. Use Tokio Marine Japanese Coefficient Of Variation of 10,184 and Risk Adjusted Performance of 0.007069 to evaluate company specific risk that cannot be diversified away.
Horizon     30 Days    Login   to change

Tokio Marine Market Sensitivity

As returns on market increase, Tokio Marine returns are expected to increase less than the market. However during bear market, the loss on holding Tokio Marine will be expected to be smaller as well.
One Month Beta |Analyze Tokio Marine Japanese Demand Trend
Check current 30 days Tokio Marine correlation with market (DOW)
β = 0.1794
Tokio Marine Small BetaTokio Marine Japanese Beta Legend

Tokio Marine Japanese Technical Analysis

Transformation
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Tokio Marine Projected Return Density Against Market

Assuming 30 trading days horizon, Tokio Marine has beta of 0.1794 suggesting as returns on market go up, Tokio Marine average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Tokio Marine Japanese Equity Focus M Hdg will be expected to be much smaller as well. Moreover, Tokio Marine Japanese Equity Focus M Hdg has an alpha of 0.0023 implying that it can potentially generate 0.0023% 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 Tokio Marine is 345.98. The daily returns are destributed with a variance of 19.72 and standard deviation of 4.44. The mean deviation of Tokio Marine Japanese Equity Focus M Hdg is currently at 3.08. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.0023
β
Beta against DOW=0.18
σ
Overall volatility
=4.44
Ir
Information ratio =0.09

Tokio Marine Return Volatility

Tokio Marine Japanese Equity Focus M Hdg accepts 4.4413% volatility on return distribution over the 30 days horizon. DOW inherits 1.0479% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Tokio Marine Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Tokio Marine Investment Opportunity

Tokio Marine Japanese Equity Focus M Hdg has a volatility of 4.44 and is 4.23 times more volatile than DOW. 40% of all equities and portfolios are less risky than Tokio Marine. Compared to the overall equity markets, volatility of historical daily returns of Tokio Marine Japanese Equity Focus M Hdg is lower than 40 (%) of all global equities and portfolios over the last 30 days. Use Tokio Marine Japanese Equity Focus M Hdg to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Tokio Marine to be traded at $111.18 in 30 days. As returns on market increase, Tokio Marine returns are expected to increase less than the market. However during bear market, the loss on holding Tokio Marine will be expected to be smaller as well.

Tokio Marine correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Tokio Marine Japanese Equity F and equity matching DJI index in the same portfolio.

Tokio Marine Volatility Indicators

Tokio Marine Japanese Equity Focus M Hdg Current Risk Indicators

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