Babson Capital (Ireland) Risk Analysis And Volatility Evaluation

F00000WFHQ -- Ireland Fund  

GBp 10,546  3.00  0.0285%

We consider Babson Capital unknown risk. Babson Capital Glbl secures Sharpe Ratio (or Efficiency) of 0.5 which signifies that Babson Capital Glbl had 0.5% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Babson Capital Glbl HY Crdt Strat B GBP which you can use to evaluate future volatility of the entity. Please confirm Babson Capital Glbl Mean Deviation of 0.0191 and Risk Adjusted Performance of 0.07 to double-check if risk estimate we provide are consistent with the epected return of 0.1311%.
Horizon     30 Days    Login   to change

Babson Capital Market Sensitivity

As returns on market increase, Babson Capital returns are expected to increase less than the market. However during bear market, the loss on holding Babson Capital will be expected to be smaller as well.
One Month Beta |Analyze Babson Capital Glbl Demand Trend
Check current 30 days Babson Capital correlation with market (DOW)
β = 0.0015
Babson Capital Small BetaBabson Capital Glbl Beta Legend

Babson Capital Glbl Technical Analysis

Transformation
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Babson Capital Projected Return Density Against Market

Assuming 30 trading days horizon, Babson Capital has beta of 0.0015 suggesting as returns on market go up, Babson Capital average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Babson Capital Glbl HY Crdt Strat B GBP will be expected to be much smaller as well. Additionally, Babson Capital Glbl HY Crdt Strat B GBP 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 Babson Capital is 200.0. The daily returns are destributed with a variance of 0.07 and standard deviation of 0.26. The mean deviation of Babson Capital Glbl HY Crdt Strat B GBP is currently at 0.2. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0055
β
Beta against DOW=0.0015
σ
Overall volatility
=0.26
Ir
Information ratio =5.03

Babson Capital Return Volatility

Babson Capital Glbl HY Crdt Strat B GBP accepts 0.2622% volatility on return distribution over the 30 days horizon. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Babson Capital Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Babson Capital Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 1.73 times more volatile than Babson Capital Glbl HY Crdt Strat B GBP. 2% of all equities and portfolios are less risky than Babson Capital. Compared to the overall equity markets, volatility of historical daily returns of Babson Capital Glbl HY Crdt Strat B GBP is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Babson Capital Glbl HY Crdt Strat B GBP to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Babson Capital to be traded at p;11073.3 in 30 days. As returns on market increase, Babson Capital returns are expected to increase less than the market. However during bear market, the loss on holding Babson Capital will be expected to be smaller as well.

Babson Capital correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Babson Capital Glbl HY Crdt St and equity matching DJI index in the same portfolio.

Babson Capital Volatility Indicators

Babson Capital Glbl HY Crdt Strat B GBP Current Risk Indicators

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