AXA Rosenberg (Ireland) Risk Analysis And Volatility Evaluation

IE0031069499 -- Ireland Fund  

EUR 72.62  1.32  1.79%

Macroaxis considers AXA Rosenberg to be unknown risk. AXA Rosenberg Pac retains Efficiency (Sharpe Ratio) of -0.3189 which signifies that AXA Rosenberg Pac had -0.3189% of return per unit of risk over the last 1 month. 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. AXA Rosenberg exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm AXA Rosenberg Pac ex Jap Sm Cp Alp B to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

AXA Rosenberg Pac Technical Analysis

Transformation
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AXA Rosenberg Projected Return Density Against Market

Assuming 30 trading days horizon, AXA Rosenberg has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and AXA Rosenberg are completely uncorrelated. Furthermore, AXA Rosenberg Pac ex Jap Sm Cp Alp BIt does not look like AXA Rosenberg alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of AXA Rosenberg is -313.57. The daily returns are destributed with a variance of 4.83 and standard deviation of 2.2. The mean deviation of AXA Rosenberg Pac ex Jap Sm Cp Alp B is currently at 1.55. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=2.20
Ir
Information ratio =0.00

AXA Rosenberg Return Volatility

AXA Rosenberg Pac ex Jap Sm Cp Alp B accepts 2.1984% volatility on return distribution over the 30 days horizon. DOW inherits 0.4303% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

AXA Rosenberg Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

AXA Rosenberg Investment Opportunity

AXA Rosenberg Pac ex Jap Sm Cp Alp B has a volatility of 2.2 and is 5.12 times more volatile than DOW. 20% of all equities and portfolios are less risky than AXA Rosenberg. Compared to the overall equity markets, volatility of historical daily returns of AXA Rosenberg Pac ex Jap Sm Cp Alp B is lower than 20 (%) of all global equities and portfolios over the last 30 days.

AXA Rosenberg Volatility Indicators

AXA Rosenberg Pac ex Jap Sm Cp Alp B Current Risk Indicators

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