Colchester Lcl (Ireland) Risk Analysis And Volatility Evaluation

F00000WM32 -- Ireland Fund  

USD 10.10  0.09  0.90%

Macroaxis considers Colchester Lcl to be unknown risk. Colchester Lcl Mkts secures Sharpe Ratio (or Efficiency) of -0.5774 which signifies that Colchester Lcl Mkts had -0.5774% of return per unit of risk over the last 1 month. 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 Lcl Mkts Rl Ret Bd A USD 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 Lcl Mkts Downside Deviation of 0.9356, Risk Adjusted Performance of 0.0445 and Mean Deviation of 0.6057 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Colchester Lcl Market Sensitivity

As returns on market increase, Colchester Lcl returns are expected to increase less than the market. However during bear market, the loss on holding Colchester Lcl will be expected to be smaller as well.
One Month Beta |Analyze Colchester Lcl Mkts Demand Trend
Check current 30 days Colchester Lcl correlation with market (DOW)
β = 0.2237
Colchester Lcl Small BetaColchester Lcl Mkts Beta Legend

Colchester Lcl Mkts Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, Colchester Lcl has beta of 0.2237 suggesting as returns on market go up, Colchester Lcl average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Colchester Lcl Mkts Rl Ret Bd A USD Acc will be expected to be much smaller as well. Moreover, Colchester Lcl Mkts Rl Ret Bd A USD Acc has an alpha of 0.0446 implying that it can potentially generate 0.0446% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Colchester Lcl is -173.21. The daily returns are destributed with a variance of 5.56 and standard deviation of 2.36. The mean deviation of Colchester Lcl Mkts Rl Ret Bd A USD Acc is currently at 1.81. For similar time horizon, the selected benchmark (DOW) has volatility of 0.55
α
Alpha over DOW
=0.0446
β
Beta against DOW=0.22
σ
Overall volatility
=2.36
Ir
Information ratio =0.03

Actual Return Volatility

Colchester Lcl Mkts Rl Ret Bd A USD Acc accepts 2.3577% 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

Colchester Lcl Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Colchester Lcl Investment Opportunity
Colchester Lcl Mkts Rl Ret Bd A USD Acc has a volatility of 2.36 and is 4.29 times more volatile than DOW. 21% of all equities and portfolios are less risky than Colchester Lcl. Compared to the overall equity markets, volatility of historical daily returns of Colchester Lcl Mkts Rl Ret Bd A USD Acc is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use Colchester Lcl Mkts Rl Ret Bd A USD Acc to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Colchester Lcl to be traded at $11.11 in 30 days. As returns on market increase, Colchester Lcl returns are expected to increase less than the market. However during bear market, the loss on holding Colchester Lcl will be expected to be smaller as well.

Colchester Lcl correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Colchester Lcl Mkts Rl Ret Bd and equity matching DJI index in the same portfolio.

Volatility Indicators

Colchester Lcl Current Risk Indicators
Additionally see Investing Opportunities. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.