TIAA Emerging (Ireland) Risk Analysis And Volatility Evaluation

F00000WGGL -- Ireland Fund  

USD 22.97  0.13  0.56%

We consider TIAA Emerging unknown risk. TIAA Emerging Markets retains Efficiency (Sharpe Ratio) of 0.0808 which indicates TIAA Emerging Markets had 0.0808% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 TIAA Emerging which you can use to evaluate future volatility of the fund. Please validate TIAA Emerging Markets Dbt A USD Acc Risk Adjusted Performance of 0.049743 to confirm if risk estimate we provide are consistent with the epected return of 0.0331%.
Horizon     30 Days    Login   to change

TIAA Emerging Market Sensitivity

As returns on market increase, TIAA Emerging returns are expected to increase less than the market. However during bear market, the loss on holding TIAA Emerging will be expected to be smaller as well.
One Month Beta |Analyze TIAA Emerging Markets Demand Trend
Check current 30 days TIAA Emerging correlation with market (DOW)
β = 0.4333
TIAA Emerging Small BetaTIAA Emerging Markets Beta Legend

TIAA Emerging Markets Technical Analysis

Transformation
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TIAA Emerging Projected Return Density Against Market

Assuming 30 trading days horizon, TIAA Emerging has beta of 0.4333 suggesting as returns on market go up, TIAA Emerging average returns are expected to increase less than the benchmark. However during bear market, the loss on holding TIAA Emerging Markets Dbt A USD Acc will be expected to be much smaller as well. Additionally, TIAA Emerging Markets Dbt A USD Acc 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 TIAA Emerging is 1237.23. The daily returns are destributed with a variance of 0.17 and standard deviation of 0.41. The mean deviation of TIAA Emerging Markets Dbt A USD Acc is currently at 0.27. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.21
β
Beta against DOW=0.43
σ
Overall volatility
=0.41
Ir
Information ratio =0.29

TIAA Emerging Return Volatility

TIAA Emerging Markets Dbt A USD Acc accepts 0.4098% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

TIAA Emerging Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

TIAA Emerging Investment Opportunity

DOW has a standard deviation of returns of 0.42 and is 1.02 times more volatile than TIAA Emerging Markets Dbt A USD Acc. 3% of all equities and portfolios are less risky than TIAA Emerging. Compared to the overall equity markets, volatility of historical daily returns of TIAA Emerging Markets Dbt A USD Acc is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use TIAA Emerging Markets Dbt A USD Acc to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of TIAA Emerging to be traded at $22.51 in 30 days. As returns on market increase, TIAA Emerging returns are expected to increase less than the market. However during bear market, the loss on holding TIAA Emerging will be expected to be smaller as well.

TIAA Emerging correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding TIAA Emerging Markets Dbt A US and equity matching DJI index in the same portfolio.

TIAA Emerging Volatility Indicators

TIAA Emerging Markets Dbt A USD Acc Current Risk Indicators

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