NT North (Ireland) Risk Analysis And Volatility Evaluation

Macroaxis considers NT North to be unknown risk. 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 2 months. Macroaxis way in which we are estimating 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. NT North exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify NT North America Equity Index B Euro Standard Deviation of 0.471, Market Risk Adjusted Performance of 16.67 and Mean Deviation of 0.3093 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

NT North Market Sensitivity

As returns on market increase, NT North returns are expected to increase less than the market. However during bear market, the loss on holding NT North will be expected to be smaller as well.
2 Months Beta |Analyze NT North America Demand Trend
Check current 30 days NT North correlation with market (DOW)
β = 0.0051

NT North Central Daily Price Deviation

NT North America Technical Analysis

Transformation
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NT North Projected Return Density Against Market

Assuming 30 trading days horizon, NT North has beta of 0.0051 . This indicates as returns on market go up, NT North average returns are expected to increase less than the benchmark. However during bear market, the loss on holding NT North America Equity Index B Euro will be expected to be much smaller as well. Moreover, NT North America Equity Index B Euro has an alpha of 0.0859 implying that it can potentially generate 0.0859% 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 0.91 and standard deviation of 0.95. The mean deviation of NT North America Equity Index B Euro is currently at 0.67. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.09
β
Beta against DOW=0.0051
σ
Overall volatility
=0.95
Ir
Information ratio =0.57

NT North Return Volatility

NT North America Equity Index B Euro accepts 0.9525% volatility on return distribution over the 30 days horizon. DOW inherits 1.3173% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

NT North Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

NT North Investment Opportunity

DOW has a standard deviation of returns of 1.32 and is 1.39 times more volatile than NT North America Equity Index B Euro. 8% 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 8 (%) 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 very speculative upward sentiment.. Check odds of NT North to be traded at €0.0 in 30 days. As returns on market increase, NT North returns are expected to increase less than the market. However during bear market, the loss on holding NT North will be expected to be smaller as well.

NT North correlation with market

correlation synergy
Significant 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

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