Vanguard Japan (Ireland) Risk Analysis And Volatility Evaluation

IE0032915336 -- Ireland Fund  

USD 145.59  0.53  0.37%

We consider Vanguard Japan unknown risk. Vanguard Japan Gov owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0831 which indicates Vanguard Japan Gov had 0.0831% 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 company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Vanguard Japan Gov Bd Idx Inv USD which you can use to evaluate future volatility of the fund. Please validate Vanguard Japan to confirm if risk estimate we provide are consistent with the epected return of 0.0216%.
 Time Horizon     30 Days    Login   to change

Vanguard Japan Gov Technical Analysis

Transformation
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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 1203.12. The daily returns are destributed with a variance of 0.07 and standard deviation of 0.26. The mean deviation of Vanguard Japan Gov Bd Idx Inv USD is currently at 0.18. 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
=0.26
Ir
Information ratio =0.00

Actual Return Volatility

Vanguard Japan Gov Bd Idx Inv USD accepts 0.2601% 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

Unaffected

Investment Outlook

Vanguard Japan Investment Opportunity
DOW has a standard deviation of returns of 0.57 and is 2.19 times more volatile than Vanguard Japan Gov Bd Idx Inv USD. 2% 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 2 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Vanguard Japan Current Risk Indicators
Please also check Risk vs Return Analysis. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.