BNY Mellon (Ireland) Risk Analysis And Volatility

IE0004234583 -- Ireland Fund  

USD 2.31  0.00  0.00%

Macroaxis considers BNY Mellon to be unknown risk. BNY Mellon SP secures Sharpe Ratio (or Efficiency) of -0.5774 which signifies that the fund had -0.5774% of return per unit of volatility over the last 2 months. Macroaxis approach 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. BNY Mellon SP 500 Idx Tracker A USD exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BNY Mellon SP Risk Adjusted Performance of 0.1018 and Mean Deviation of 0.4888 to double-check risk estimate we provide.
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 SP Demand Trend
Check current 30 days BNY Mellon correlation with market (DOW)
β = -0.0802

BNY Mellon Central Daily Price Deviation

BNY Mellon SP Technical Analysis

Transformation
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BNY Mellon Projected Return Density Against Market

Assuming 30 trading days horizon, BNY Mellon SP 500 Idx Tracker A USD has beta of -0.0802 . 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 SP 500 Idx Tracker A USD is likely to outperform the market. Moreover, The company has an alpha of 0.0458 implying that it can potentially generate 0.0458% 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 10.88 and standard deviation of 3.3. The mean deviation of BNY Mellon SP 500 Idx Tracker A USD is currently at 2.54. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.0458
β
Beta against DOW=0.08
σ
Overall volatility
=3.30
Ir
Information ratio =0.10

BNY Mellon Return Volatility

the fund accepts 3.2992% volatility on return distribution over the 30 days horizon. the entity inherits 1.981% 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

BNY Mellon SP 500 Idx Tracker A USD has a volatility of 3.3 and is 1.67 times more volatile than DOW. 29% 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 SP 500 Idx Tracker A USD is lower than 29 (%) of all global equities and portfolios over the last 30 days. Use BNY Mellon SP 500 Idx Tracker A USD to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of BNY Mellon to be traded at $2.29 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
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding BNY Mellon SP 500 Idx Tracker and equity matching DJI index in the same portfolio.

BNY Mellon Volatility Indicators

BNY Mellon SP 500 Idx Tracker A USD Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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