Brandes Global (Ireland) Risk Analysis And Volatility Evaluation

IE0031574209 -- Ireland Fund  

EUR 23.71  0.06  0.25%

Macroaxis considers Brandes Global unknown risk given 1 month investment horizon. Brandes Global Value secures Sharpe Ratio (or Efficiency) of 0.5925 which signifies that Brandes Global Value had 0.5925% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing Brandes Global Value technical indicators you can presently evaluate if the expected return of 0.5154% is justified by implied risk. Please makes use of Brandes Global Value to double-check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Brandes Global Value Technical Analysis

We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, Brandes Global has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Brandes Global are completely uncorrelated. Furthermore, Brandes Global Value I Euro AccIt does not look like Brandes Global alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Assuming 30 trading days horizon, the coefficient of variation of Brandes Global is 168.79. The daily returns are destributed with a variance of 0.76 and standard deviation of 0.87. The mean deviation of Brandes Global Value I Euro Acc is currently at 0.65. For similar time horizon, the selected benchmark (DOW) has volatility of 1.43
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.00

Actual Return Volatility

Brandes Global Value I Euro Acc accepts 0.87% volatility on return distribution over the 30 days horizon. DOW inherits 1.4611% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Brandes Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity


Investment Outlook

Brandes Global Investment Opportunity
DOW has a standard deviation of returns of 1.46 and is 1.68 times more volatile than Brandes Global Value I Euro Acc. 7% of all equities and portfolios are less risky than Brandes Global. Compared to the overall equity markets, volatility of historical daily returns of Brandes Global Value I Euro Acc is lower than 7 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Brandes Global Current Risk Indicators
Please also check Risk vs Return Analysis. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.