TIAA Emerging (Ireland) Risk Analysis And Volatility Evaluation

F00000WGGL -- Ireland Fund  

USD 23.02  0.38  1.62%

Macroaxis considers TIAA Emerging unknown risk given 1 month investment horizon. TIAA Emerging Markets retains Efficiency (Sharpe Ratio) of 0.5 which indicates TIAA Emerging Markets had 0.5% 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 company 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 operate TIAA Emerging Markets Dbt A USD Acc Risk Adjusted Performance of 0.15 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

TIAA Emerging Market Sensitivity

As returns on market increase, returns on owning TIAA Emerging are expected to decrease at a much smaller rate. During bear market, TIAA Emerging is likely to outperform the market.
One Month Beta |Analyze TIAA Emerging Markets Demand Trend
Check current 30 days TIAA Emerging correlation with market (DOW)
β = -0.092
TIAA Emerging Almost negative betaTIAA Emerging Markets Beta Legend

TIAA Emerging Markets Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, TIAA Emerging Markets Dbt A USD Acc has beta of -0.092 suggesting as returns on benchmark increase, returns on holding TIAA Emerging are expected to decrease at a much smaller rate. During bear market, however, TIAA Emerging Markets Dbt A USD Acc is likely to outperform the market. 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 200.0. The daily returns are destributed with a variance of 0.68 and standard deviation of 0.83. The mean deviation of TIAA Emerging Markets Dbt A USD Acc is currently at 0.62. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.25
β
Beta against DOW=0.09
σ
Overall volatility
=0.83
Ir
Information ratio =0.4

Actual Return Volatility

TIAA Emerging Markets Dbt A USD Acc accepts 0.8254% volatility on return distribution over the 30 days horizon. DOW inherits 0.5855% 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
TIAA Emerging Markets Dbt A USD Acc has a volatility of 0.83 and is 1.41 times more volatile than DOW. 7% 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 7 (%) 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 somewhat bearish sentiment, but market may correct it shortly. Check odds of TIAA Emerging to be traded at $22.33 in 30 days. As returns on market increase, returns on owning TIAA Emerging are expected to decrease at a much smaller rate. During bear market, TIAA Emerging is likely to outperform the market.

TIAA Emerging correlation with market

Good 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.
Additionally see Investing Opportunities. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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