Colchester Global (Ireland) Risk Analysis And Volatility Evaluation

F00000WM2S -- Ireland Fund  

CAD 11.48  0.14  1.20%

Macroaxis considers Colchester Global to be unknown risk. Colchester Global Bond secures Sharpe Ratio (or Efficiency) of -0.866 which signifies that Colchester Global Bond had -0.866% of return per unit of risk over the last 2 months. Macroaxis philosophy towards foreseeing risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Colchester Global Bond O CAD Acc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Colchester Global Bond Risk Adjusted Performance of (0.014232) and Mean Deviation of 0.3818 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Colchester Global Market Sensitivity

As returns on market increase, Colchester Global returns are expected to increase less than the market. However during bear market, the loss on holding Colchester Global will be expected to be smaller as well.
2 Months Beta |Analyze Colchester Global Bond Demand Trend
Check current 30 days Colchester Global correlation with market (DOW)
β = 0.0023

Colchester Global Central Daily Price Deviation

Colchester Global Bond Technical Analysis

Transformation
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Colchester Global Projected Return Density Against Market

Assuming 30 trading days horizon, Colchester Global has beta of 0.0023 suggesting as returns on market go up, Colchester Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Colchester Global Bond O CAD Acc will be expected to be much smaller as well. Additionally, Colchester Global Bond O CAD 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 Colchester Global is -115.47. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.05. The mean deviation of Colchester Global Bond O CAD Acc is currently at 0.04. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.01
β
Beta against DOW=0.0023
σ
Overall volatility
=0.05
Ir
Information ratio =0.16

Colchester Global Return Volatility

Colchester Global Bond O CAD Acc accepts 0.0502% volatility on return distribution over the 30 days horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Colchester Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Colchester Global Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 25.6 times more volatile than Colchester Global Bond O CAD Acc. 0% of all equities and portfolios are less risky than Colchester Global. Compared to the overall equity markets, volatility of historical daily returns of Colchester Global Bond O CAD Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days.

Colchester Global Volatility Indicators

Colchester Global Bond O CAD Acc Current Risk Indicators

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