Macroaxis considers Russell Japan to be unknown risk. Russell Japan Equity maintains Sharpe Ratio (i.e. Efficiency) of -0.3907 which implies Russell Japan Equity had -0.3907% of return per unit of risk over the last 2 months. Macroaxis philosophy towards forecasting 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. Russell Japan Equity exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Russell Japan Equity to confirm risk estimate we provide.
|Horizon||30 Days Login to change|
Russell Japan Equity Technical Analysis
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Russell Japan Projected Return Density Against MarketAssuming 30 trading days horizon, Russell Japan has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Russell Japan are completely uncorrelated. Furthermore, Russell Japan Equity I AccIt does not look like Russell Japan alpha can have any bearing on the equity current valuation.
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of Russell Japan is -255.94. The daily returns are destributed with a variance of 3.42 and standard deviation of 1.85. The mean deviation of Russell Japan Equity I Acc is currently at 1.38. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
|Alpha over DOW||=||0.00|
|Beta against DOW||=||0.00|
Russell Japan Return VolatilityRussell Japan Equity I Acc accepts 1.8503% volatility on return distribution over the 30 days horizon. DOW inherits 1.2918% risk (volatility on return distribution) over the 30 days horizon.
Russell Japan Equity I Acc has a volatility of 1.85 and is 1.43 times more volatile than DOW. 16% of all equities and portfolios are less risky than Russell Japan. Compared to the overall equity markets, volatility of historical daily returns of Russell Japan Equity I Acc is lower than 16 (%) of all global equities and portfolios over the last 30 days.