BNY Mellon (Ireland) Risk Analysis And Volatility Evaluation

IE0004091025 -- Ireland Fund  

USD 2.85  0.01  0.35%

Macroaxis considers BNY Mellon unknown risk given 2 months investment horizon. BNY Mellon Global secures Sharpe Ratio (or Efficiency) of 0.5774 which signifies that BNY Mellon Global had 0.5774% of return per unit of volatility over the last 2 months. Our approach towards foreseeing 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 BNY Mellon Global Opportunities B USD which you can use to evaluate future volatility of the entity. Please makes use of BNY Mellon Global Risk Adjusted Performance of 0.1015 and Mean Deviation of 0.2685 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

BNY Mellon Market Sensitivity

As returns on market increase, returns on owning BNY Mellon are expected to decrease at a much smaller rate. During bear market, BNY Mellon is likely to outperform the market.
2 Months Beta |Analyze BNY Mellon Global Demand Trend
Check current 30 days BNY Mellon correlation with market (DOW)
β = -0.1717

BNY Mellon Central Daily Price Deviation

BNY Mellon Global Technical Analysis

Transformation
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BNY Mellon Projected Return Density Against Market

Assuming 30 trading days horizon, BNY Mellon Global Opportunities B USD has beta of -0.1717 . This indicates as returns on benchmark increase, returns on holding BNY Mellon are expected to decrease at a much smaller rate. During bear market, however, BNY Mellon Global Opportunities B USD is likely to outperform the market. Moreover, BNY Mellon Global Opportunities B USD has an alpha of 0.0217 implying that it can potentially generate 0.0217% 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 BNY Mellon is 173.21. The daily returns are destributed with a variance of 0.17 and standard deviation of 0.41. The mean deviation of BNY Mellon Global Opportunities B USD is currently at 0.31. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
α
Alpha over DOW
=0.0217
β
Beta against DOW=0.17
σ
Overall volatility
=0.41
Ir
Information ratio =0.32

BNY Mellon Return Volatility

BNY Mellon Global Opportunities B USD accepts 0.408% volatility on return distribution over the 30 days horizon. DOW inherits 1.3487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BNY Mellon Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

BNY Mellon Investment Opportunity

DOW has a standard deviation of returns of 1.35 and is 3.29 times more volatile than BNY Mellon Global Opportunities B USD. 3% of all equities and portfolios are less risky than BNY Mellon. Compared to the overall equity markets, volatility of historical daily returns of BNY Mellon Global Opportunities B USD is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use BNY Mellon Global Opportunities B USD to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of BNY Mellon to be traded at $2.99 in 30 days. As returns on market increase, returns on owning BNY Mellon are expected to decrease at a much smaller rate. During bear market, BNY Mellon is likely to outperform the market.

BNY Mellon correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding BNY Mellon Global Opportunitie and equity matching DJI index in the same portfolio.

BNY Mellon Volatility Indicators

BNY Mellon Global Opportunities B USD Current Risk Indicators

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