Lindsell Train (Ireland) Risk Analysis And Volatility Evaluation

F0GBR04FKP -- Ireland Fund  

JPY 458.88  18.52  3.88%

Macroaxis considers Lindsell Train unknown risk given 1 month investment horizon. Lindsell Train Japanese has Sharpe Ratio of 0.5774 which conveys that Lindsell Train Japanese had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Lindsell Train which you can use to evaluate future volatility of the organization. Please exercise Lindsell Train Japanese Eq A Yen Mean Deviation of 0.3612 and Risk Adjusted Performance of 0.2517 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Lindsell Train Market Sensitivity

As returns on market increase, Lindsell Train returns are expected to increase less than the market. However during bear market, the loss on holding Lindsell Train will be expected to be smaller as well.
One Month Beta |Analyze Lindsell Train Japanese Demand Trend
Check current 30 days Lindsell Train correlation with market (DOW)
β = 0.0336

Lindsell Train Central Daily Price Deviation

Lindsell Train Japanese Technical Analysis

Transformation
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Lindsell Train Projected Return Density Against Market

Assuming 30 trading days horizon, Lindsell Train has beta of 0.0336 suggesting as returns on market go up, Lindsell Train average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Lindsell Train Japanese Eq A Yen will be expected to be much smaller as well. Moreover, Lindsell Train Japanese Eq A Yen has an alpha of 0.1791 implying that it can potentially generate 0.1791% 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 Lindsell Train is 173.21. The daily returns are destributed with a variance of 0.44 and standard deviation of 0.66. The mean deviation of Lindsell Train Japanese Eq A Yen is currently at 0.51. For similar time horizon, the selected benchmark (DOW) has volatility of 1.2
α
Alpha over DOW
=0.18
β
Beta against DOW=0.0336
σ
Overall volatility
=0.66
Ir
Information ratio =0.20

Lindsell Train Return Volatility

Lindsell Train Japanese Eq A Yen accepts 0.6605% volatility on return distribution over the 30 days horizon. DOW inherits 1.2203% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lindsell Train Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Lindsell Train Investment Opportunity

DOW has a standard deviation of returns of 1.22 and is 1.85 times more volatile than Lindsell Train Japanese Eq A Yen. 5% 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 5 (%) of all global equities and portfolios over the last 30 days. Use Lindsell Train Japanese Eq A Yen to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Lindsell Train to be traded at ¥440.52 in 30 days. As returns on market increase, Lindsell Train returns are expected to increase less than the market. However during bear market, the loss on holding Lindsell Train will be expected to be smaller as well.

Lindsell Train correlation with market

correlation synergy
Significant 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.

Lindsell Train Volatility Indicators

Lindsell Train Japanese Eq A Yen Current Risk Indicators

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