Babson Capital (Ireland) Risk Analysis And Volatility Evaluation

F00000WJ0W -- Ireland Fund  

USD 123.86  0.06  0.0484%

We consider Babson Capital unknown risk. Babson Capital Glbl secures Sharpe Ratio (or Efficiency) of 0.5774 which signifies that Babson Capital Glbl had 0.5774% 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 company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Babson Capital Glbl HY Bd A USD Acc which you can use to evaluate future volatility of the entity. Please confirm Babson Capital Glbl Mean Deviation of 0.0936 and Risk Adjusted Performance of 0.05 to double-check if risk estimate we provide are consistent with the epected return of 0.1053%.
 Time Horizon     30 Days    Login   to change

Babson Capital Market Sensitivity

As returns on market increase, returns on owning Babson Capital are expected to decrease at a much smaller rate. During bear market, Babson Capital is likely to outperform the market.
One Month Beta |Analyze Babson Capital Glbl Demand Trend
Check current 30 days Babson Capital correlation with market (DOW)
β = -0.031
Babson Capital Almost negative betaBabson Capital Glbl Beta Legend

Babson Capital Glbl Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Babson Capital Glbl HY Bd A USD Acc has beta of -0.031 suggesting as returns on benchmark increase, returns on holding Babson Capital are expected to decrease at a much smaller rate. During bear market, however, Babson Capital Glbl HY Bd A USD Acc is likely to outperform the market. Additionally, Babson Capital Glbl HY Bd 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 Babson Capital is 173.21. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.18. The mean deviation of Babson Capital Glbl HY Bd A USD Acc is currently at 0.14. For similar time horizon, the selected benchmark (DOW) has volatility of 0.55
α
Alpha over DOW
=0.02
β
Beta against DOW=0.03
σ
Overall volatility
=0.18
Ir
Information ratio =0.6

Actual Return Volatility

Babson Capital Glbl HY Bd A USD Acc accepts 0.1824% volatility on return distribution over the 30 days horizon. DOW inherits 0.5516% 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 0.55 and is 3.06 times more volatile than Babson Capital Glbl HY Bd A USD Acc. 1% 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 Bd A USD Acc is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Babson Capital Glbl HY Bd A USD Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Babson Capital to be traded at $122.62 in 30 days. As returns on market increase, returns on owning Babson Capital are expected to decrease at a much smaller rate. During bear market, Babson Capital is likely to outperform the market.

Babson Capital correlation with market

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

Volatility Indicators

Babson Capital Current Risk Indicators
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