Smith Williamson (Ireland) Risk Analysis And Volatility Evaluation

IE0031482866 -- Ireland Fund  

GBp 175.00  0.00  0.00%

Macroaxis considers Smith Williamson unknown risk given 1 month investment horizon. Smith Williamson Santos owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5774 which indicates Smith Williamson Santos had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By inspecting Smith Williamson Santos technical indicators you can presently evaluate if the expected return of 0.5814% is justified by implied risk. Please operate Smith Williamson to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Smith Williamson Santos Technical Analysis

Transformation
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Smith Williamson Projected Return Density Against Market

Assuming 30 trading days horizon, Smith Williamson has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Smith Williamson are completely uncorrelated. Furthermore, Smith Williamson Santos Investment GBPIt does not look like Smith Williamson alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Smith Williamson is 173.21. The daily returns are destributed with a variance of 1.01 and standard deviation of 1.01. The mean deviation of Smith Williamson Santos Investment GBP is currently at 0.78. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.01
Ir
Information ratio =0.00

Smith Williamson Return Volatility

Smith Williamson Santos Investment GBP accepts 1.007% volatility on return distribution over the 30 days horizon. DOW inherits 1.0565% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Smith Williamson Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Smith Williamson Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.05 times more volatile than Smith Williamson Santos Investment GBP. 9% of all equities and portfolios are less risky than Smith Williamson. Compared to the overall equity markets, volatility of historical daily returns of Smith Williamson Santos Investment GBP is lower than 9 (%) of all global equities and portfolios over the last 30 days.

Smith Williamson Volatility Indicators

Smith Williamson Santos Investment GBP Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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