Lindsell Train (Ireland) Risk Analysis And Volatility Evaluation

F0GBR04FKP -- Ireland Fund  

JPY 506.10  5.27  1.05%

Macroaxis considers Lindsell Train to be not too risky. Lindsell Train Japanese has Sharpe Ratio of -0.0506 which conveys that Lindsell Train Japanese had -0.0506% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Lindsell Train exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Lindsell Train Japanese Eq A Yen Mean Deviation of 0.4782 and Risk Adjusted Performance of 0.08 to check out risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Lindsell Train Market Sensitivity

As returns on market increase, returns on owning Lindsell Train are expected to decrease at a much smaller rate. During bear market, Lindsell Train is likely to outperform the market.
One Month Beta |Analyze Lindsell Train Japanese Demand Trend
Check current 30 days Lindsell Train correlation with market (DOW)
β = -0.0363
Lindsell Train Almost negative betaLindsell Train Japanese Beta Legend

Lindsell Train Japanese Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Lindsell Train Japanese Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Assuming 30 trading days horizon, Lindsell Train Japanese Eq A Yen has beta of -0.0363 suggesting as returns on benchmark increase, returns on holding Lindsell Train are expected to decrease at a much smaller rate. During bear market, however, Lindsell Train Japanese Eq A Yen is likely to outperform the market. Additionally, Lindsell Train Japanese Eq A Yen 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 Lindsell Train is -1977.87. The daily returns are destributed with a variance of 2.84 and standard deviation of 1.68. The mean deviation of Lindsell Train Japanese Eq A Yen is currently at 1.21. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.18
β
Beta against DOW=0.04
σ
Overall volatility
=1.68
Ir
Information ratio =0.31

Actual Return Volatility

Lindsell Train Japanese Eq A Yen accepts 1.6845% volatility on return distribution over the 30 days horizon. DOW inherits 0.5701% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lindsell Train Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Indifferent to market move

Investment Outlook

Lindsell Train Investment Opportunity
Lindsell Train Japanese Eq A Yen has a volatility of 1.68 and is 2.95 times more volatile than DOW. 15% of all equities and portfolios are less risky than Lindsell Train. Compared to the overall equity markets, volatility of historical daily returns of Lindsell Train Japanese Eq A Yen is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Lindsell Train Japanese Eq A Yen to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Lindsell Train to be traded at ¥556.71 in 30 days. As returns on market increase, returns on owning Lindsell Train are expected to decrease at a much smaller rate. During bear market, Lindsell Train is likely to outperform the market.

Lindsell Train correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Lindsell Train Japanese Eq A Y and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
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