NT North (Ireland) Risk Analysis And Volatility Evaluation

IE00B02L3N44 -- Ireland Fund  

EUR 332.66  2.46  0.73%

Macroaxis considers NT North unknown risk given 1 month investment horizon. NT North America retains Efficiency (Sharpe Ratio) of 0.7071 which conveys that NT North America had 0.7071% of return per unit of price deviation over the last 1 month. Our way in which we are estimating 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 NT North which you can use to evaluate future volatility of the organization. Please exercise NT North America Equity Index B Euro Standard Deviation of 0.6492, Market Risk Adjusted Performance of 1.28 and Mean Deviation of 0.3884 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

NT North Market Sensitivity

As returns on market increase, returns on owning NT North are expected to decrease at a much smaller rate. During bear market, NT North is likely to outperform the market.
One Month Beta |Analyze NT North America Demand Trend
Check current 30 days NT North correlation with market (DOW)
β = -0.042
NT North Almost negative betaNT North America Beta Legend

NT North America Technical Analysis

Transformation
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.

NT North Projected Return Density Against Market

Assuming 30 trading days horizon, NT North America Equity Index B Euro has beta of -0.042 . This indicates as returns on benchmark increase, returns on holding NT North are expected to decrease at a much smaller rate. During bear market, however, NT North America Equity Index B Euro is likely to outperform the market. Moreover, NT North America Equity Index B Euro has an alpha of 0.0605 implying that it can potentially generate 0.0605% 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 NT North is 141.42. The daily returns are destributed with a variance of 0.27 and standard deviation of 0.52. The mean deviation of NT North America Equity Index B Euro is currently at 0.37. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.06
β
Beta against DOW=0.04
σ
Overall volatility
=0.52
Ir
Information ratio =0.15

NT North Return Volatility

NT North America Equity Index B Euro accepts 0.5229% volatility on return distribution over the 30 days horizon. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

NT North Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

NT North Investment Opportunity

NT North America Equity Index B Euro has a volatility of 0.52 and is 1.16 times more volatile than DOW. 4% of all equities and portfolios are less risky than NT North. Compared to the overall equity markets, volatility of historical daily returns of NT North America Equity Index B Euro is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use NT North America Equity Index B Euro to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of NT North to be traded at €326.01 in 30 days. As returns on market increase, returns on owning NT North are expected to decrease at a much smaller rate. During bear market, NT North is likely to outperform the market.

NT North correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding NT North America Equity Index and equity matching DJI index in the same portfolio.

NT North Volatility Indicators

NT North America Equity Index B Euro Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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