Russell Multi (Ireland) Risk Analysis And Volatility Evaluation

IE00B05KX727 -- Ireland Fund  

USD 177.73  2.22  1.23%

Macroaxis considers Russell Multi to be unknown risk. Russell Multi Asset maintains Sharpe Ratio (i.e. Efficiency) of -0.5774 which implies Russell Multi Asset had -0.5774% of return per unit of risk over the last 2 months. Macroaxis philosophy towards forecasting 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. Russell Multi Asset exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Russell Multi Asset Coefficient Of Variation of (1,722) and Risk Adjusted Performance of (0.09) to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Russell Multi Market Sensitivity

As returns on market increase, Russell Multi returns are expected to increase less than the market. However during bear market, the loss on holding Russell Multi will be expected to be smaller as well.
2 Months Beta |Analyze Russell Multi Asset Demand Trend
Check current 30 days Russell Multi correlation with market (DOW)
β = 0.0064

Russell Multi Central Daily Price Deviation

Russell Multi Asset Technical Analysis

Transformation
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Russell Multi Projected Return Density Against Market

Assuming 30 trading days horizon, Russell Multi has beta of 0.0064 . This indicates as returns on market go up, Russell Multi average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Russell Multi Asset 70 B Acc will be expected to be much smaller as well. Additionally, Russell Multi Asset 70 B Acc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Russell Multi is -173.21. The daily returns are destributed with a variance of 1.15 and standard deviation of 1.07. The mean deviation of Russell Multi Asset 70 B Acc is currently at 0.82. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.04
β
Beta against DOW=0.0064
σ
Overall volatility
=1.07
Ir
Information ratio =0.18

Russell Multi Return Volatility

Russell Multi Asset 70 B Acc accepts 1.0712% volatility on return distribution over the 30 days horizon. DOW inherits 1.3014% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Russell Multi Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Russell Multi Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 1.21 times more volatile than Russell Multi Asset 70 B Acc. 9% of all equities and portfolios are less risky than Russell Multi. Compared to the overall equity markets, volatility of historical daily returns of Russell Multi Asset 70 B Acc is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Russell Multi Asset 70 B Acc to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Russell Multi to be traded at $172.4 in 30 days. As returns on market increase, Russell Multi returns are expected to increase less than the market. However during bear market, the loss on holding Russell Multi will be expected to be smaller as well.

Russell Multi correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Russell Multi Asset 70 B Acc and equity matching DJI index in the same portfolio.

Russell Multi Volatility Indicators

Russell Multi Asset 70 B Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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