Brandes Global (Ireland) Risk Analysis And Volatility

IE0031574209 -- Ireland Fund  

EUR 22.18  0.20  0.01%

Macroaxis considers Brandes Global unknown risk given 2 months investment horizon. Brandes Global Value secures Sharpe Ratio (or Efficiency) of 0.5774 which signifies that the fund had 0.5774% of return per unit of standard deviation over the last 2 months. Our philosophy in foreseeing 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 Brandes Global Value I Euro Acc which you can use to evaluate future volatility of the entity. Please makes use of Brandes Global Value Risk Adjusted Performance of 0.2052 and Mean Deviation of 0.1998 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Brandes Global Market Sensitivity

As returns on market increase, Brandes Global returns are expected to increase less than the market. However during bear market, the loss on holding Brandes Global will be expected to be smaller as well.
2 Months Beta |Analyze Brandes Global Value Demand Trend
Check current 30 days Brandes Global correlation with market (DOW)
β = 0.0012

Brandes Global Central Daily Price Deviation

Brandes Global Value Technical Analysis

Transformation
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Brandes Global Projected Return Density Against Market

Assuming 30 trading days horizon, Brandes Global has beta of 0.0012 . This indicates as returns on market go up, Brandes Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Brandes Global Value I Euro Acc will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0533 implying that it can potentially generate 0.0533% 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 Brandes Global is 173.21. The daily returns are destributed with a variance of 0.28 and standard deviation of 0.53. The mean deviation of Brandes Global Value I Euro Acc is currently at 0.4. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.05
β
Beta against DOW=0.0012
σ
Overall volatility
=0.53
Ir
Information ratio =0.21

Brandes Global Return Volatility

the fund accepts 0.5253% volatility on return distribution over the 30 days horizon. the entity inherits 1.981% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Brandes Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Brandes Global Investment Opportunity

DOW has a standard deviation of returns of 1.98 and is 3.74 times more volatile than Brandes Global Value I Euro Acc. 4% 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 4 (%) of all global equities and portfolios over the last 30 days.

Brandes Global Volatility Indicators

Brandes Global Value I Euro Acc Current Risk Indicators

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