Vanguard Japan (Ireland) Risk Analysis And Volatility Evaluation

IE0032915336 -- Ireland Fund  

USD 140.65  0.07  0.0498%

Macroaxis considers Vanguard Japan to be unknown risk. Vanguard Japan Gov owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.3035 which indicates Vanguard Japan Gov had -0.3035% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Vanguard Japan Gov Bd Idx Inv USD exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vanguard Japan to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Vanguard Japan Gov Technical Analysis

Transformation
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Vanguard Japan Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard Japan has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Vanguard Japan are completely uncorrelated. Furthermore, Vanguard Japan Gov Bd Idx Inv USDIt does not look like Vanguard Japan alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Vanguard Japan is -329.49. The daily returns are destributed with a variance of 2.23 and standard deviation of 1.49. The mean deviation of Vanguard Japan Gov Bd Idx Inv USD is currently at 1.12. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.49
Ir
Information ratio =0.00

Vanguard Japan Return Volatility

Vanguard Japan Gov Bd Idx Inv USD accepts 1.4942% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vanguard Japan Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Vanguard Japan Investment Opportunity

Vanguard Japan Gov Bd Idx Inv USD has a volatility of 1.49 and is 1.38 times more volatile than DOW. 13% of all equities and portfolios are less risky than Vanguard Japan. Compared to the overall equity markets, volatility of historical daily returns of Vanguard Japan Gov Bd Idx Inv USD is lower than 13 (%) of all global equities and portfolios over the last 30 days.

Vanguard Japan Volatility Indicators

Vanguard Japan Gov Bd Idx Inv USD Current Risk Indicators

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