GS USD (Ireland) Risk Analysis And Volatility Evaluation

IE0031294410 -- Ireland Fund  

USD 12,212  0.61  0.005%

We consider GS USD unknown risk. GS USD Liquid retains Efficiency (Sharpe Ratio) of 1.0067 which attests that GS USD Liquid had 1.0067% of return per unit of price deviation over the last 1 month. Our way in which we are determining 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 GS USD which you can use to evaluate future volatility of the entity. Please check out GS USD Liquid Reserve Adm Acc Standard Deviation of 0.046 and Market Risk Adjusted Performance of 6.62 to validate if risk estimate we provide are consistent with the epected return of 0.0049%.
Horizon     30 Days    Login   to change

GS USD Market Sensitivity

As returns on market increase, returns on owning GS USD are expected to decrease at a much smaller rate. During bear market, GS USD is likely to outperform the market.
One Month Beta |Analyze GS USD Liquid Demand Trend
Check current 30 days GS USD correlation with market (DOW)
β = -9.0E-4
GS USD Almost negative betaGS USD Liquid Beta Legend

GS USD Liquid Technical Analysis

Transformation
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GS USD Projected Return Density Against Market

Assuming 30 trading days horizon, GS USD Liquid Reserve Adm Acc has beta of -9.0E-4 . This indicates as returns on benchmark increase, returns on holding GS USD are expected to decrease at a much smaller rate. During bear market, however, GS USD Liquid Reserve Adm Acc is likely to outperform the market. Moreover, GS USD Liquid Reserve Adm Acc has an alpha of 0.0061 implying that it can potentially generate 0.0061% 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 GS USD is 99.33. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.0. The mean deviation of GS USD Liquid Reserve Adm Acc is currently at 0.0. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0061
β
Beta against DOW=0.0009
σ
Overall volatility
=0.0049
Ir
Information ratio =3.48

GS USD Return Volatility

GS USD Liquid Reserve Adm Acc accepts 0.0049% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

GS USD Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

GS USD Investment Opportunity

DOW has a standard deviation of returns of 0.42 and is 9.223372036854776E16 times more volatile than GS USD Liquid Reserve Adm Acc. 0% of all equities and portfolios are less risky than GS USD. Compared to the overall equity markets, volatility of historical daily returns of GS USD Liquid Reserve Adm Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use GS USD Liquid Reserve Adm Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of GS USD to be traded at $12090.17 in 30 days. As returns on market increase, returns on owning GS USD are expected to decrease at a much smaller rate. During bear market, GS USD is likely to outperform the market.

GS USD correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding GS USD Liquid Reserve Adm Acc and equity matching DJI index in the same portfolio.

GS USD Volatility Indicators

GS USD Liquid Reserve Adm Acc Current Risk Indicators

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