Smith Williamson (Ireland) Risk Analysis And Volatility Evaluation

IE0031482866 -- Ireland Fund  

GBp 162.00  1.00  0.61%

Macroaxis considers Smith Williamson unknown risk given 2 months investment horizon. Smith Williamson Santos owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2908 which indicates Smith Williamson Santos had 0.2908% of return per unit of risk over the last 2 months. 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. We have found twenty-one technical indicators for Smith Williamson Santos Investment GBP which you can use to evaluate future volatility of the fund. Please operate Smith Williamson Coefficient Of Variation of 1886.26 and Risk Adjusted Performance of 0.0542 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Smith Williamson Market Sensitivity

As returns on market increase, returns on owning Smith Williamson are expected to decrease at a much smaller rate. During bear market, Smith Williamson is likely to outperform the market.
2 Months Beta |Analyze Smith Williamson Santos Demand Trend
Check current 30 days Smith Williamson correlation with market (DOW)
β = -0.0158

Smith Williamson Central Daily Price Deviation

Smith Williamson Santos Technical Analysis

Transformation
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Smith Williamson Projected Return Density Against Market

Assuming 30 trading days horizon, Smith Williamson Santos Investment GBP has beta of -0.0158 . This indicates as returns on benchmark increase, returns on holding Smith Williamson are expected to decrease at a much smaller rate. During bear market, however, Smith Williamson Santos Investment GBP is likely to outperform the market. Moreover, Smith Williamson Santos Investment GBP has an alpha of 0.0166 implying that it can potentially generate 0.0166% 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 Smith Williamson is 343.84. The daily returns are destributed with a variance of 1.19 and standard deviation of 1.09. The mean deviation of Smith Williamson Santos Investment GBP is currently at 0.83. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.0166
β
Beta against DOW=0.02
σ
Overall volatility
=1.09
Ir
Information ratio =0.25

Smith Williamson Return Volatility

Smith Williamson Santos Investment GBP accepts 1.0899% volatility on return distribution over the 30 days horizon. DOW inherits 1.2955% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Smith Williamson Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Smith Williamson Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 1.19 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. Use Smith Williamson Santos Investment GBP to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Smith Williamson to be traded at p;158.76 in 30 days. As returns on market increase, returns on owning Smith Williamson are expected to decrease at a much smaller rate. During bear market, Smith Williamson is likely to outperform the market.

Smith Williamson correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Smith Williamson Santos Invest and equity matching DJI index in the same portfolio.

Smith Williamson Volatility Indicators

Smith Williamson Santos Investment GBP Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.
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