Davy Ethical (Ireland) Risk Analysis And Volatility Evaluation

F00000W960 -- Ireland Fund  

EUR 219.29  3.49  1.62%

Macroaxis considers Davy Ethical unknown risk given 1 month investment horizon. Davy Ethical Equity secures Sharpe Ratio (or Efficiency) of 0.5774 which denotes Davy Ethical Equity had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By reviewing Davy Ethical Equity technical indicators you can presently evaluate if the expected return of 0.5391% is justified by implied risk. Please utilize Davy Ethical Equity Coefficient Of Variation of 311.66 and Mean Deviation of 0.4245 to check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Davy Ethical Market Sensitivity

As returns on market increase, Davy Ethical returns are expected to increase less than the market. However during bear market, the loss on holding Davy Ethical will be expected to be smaller as well.
One Month Beta |Analyze Davy Ethical Equity Demand Trend
Check current 30 days Davy Ethical correlation with market (DOW)
β = 0.0827
Davy Ethical Small BetaDavy Ethical Equity Beta Legend

Davy Ethical Equity Technical Analysis

Transformation
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Davy Ethical Projected Return Density Against Market

Assuming 30 trading days horizon, Davy Ethical has beta of 0.0827 suggesting as returns on market go up, Davy Ethical average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Davy Ethical Equity A EUR Acc will be expected to be much smaller as well. Moreover, Davy Ethical Equity A EUR Acc has an alpha of 0.1506 implying that it can potentially generate 0.1506% 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 Davy Ethical is 173.21. The daily returns are destributed with a variance of 0.87 and standard deviation of 0.93. The mean deviation of Davy Ethical Equity A EUR Acc is currently at 0.72. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.15
β
Beta against DOW=0.08
σ
Overall volatility
=0.93
Ir
Information ratio =0.0033

Davy Ethical Return Volatility

Davy Ethical Equity A EUR Acc accepts 0.9337% 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

Davy Ethical Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Davy Ethical Investment Opportunity

Davy Ethical Equity A EUR Acc has a volatility of 0.93 and is 2.07 times more volatile than DOW. 8% of all equities and portfolios are less risky than Davy Ethical. Compared to the overall equity markets, volatility of historical daily returns of Davy Ethical Equity A EUR Acc is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use Davy Ethical Equity A EUR Acc to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Davy Ethical to be traded at €241.22 in 30 days. As returns on market increase, Davy Ethical returns are expected to increase less than the market. However during bear market, the loss on holding Davy Ethical will be expected to be smaller as well.

Davy Ethical correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Davy Ethical Equity A EUR Acc and equity matching DJI index in the same portfolio.

Davy Ethical Volatility Indicators

Davy Ethical Equity A EUR Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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