SEI GMF (Ireland) Risk Analysis And Volatility Evaluation

IE00B068BC69 -- Ireland Fund  

GBp 1,285  2.00  0.16%

Macroaxis considers SEI GMF to be unknown risk. SEI GMF UK owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5774 which indicates SEI GMF UK had -0.5774% of return per unit of volatility over the last 2 months. Macroaxis approach 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. SEI GMF UK Core Fxd Intr GBP Wlth A exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SEI GMF Risk Adjusted Performance of 0.0622 and Coefficient Of Variation of 1649.32 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

SEI GMF Market Sensitivity

As returns on market increase, returns on owning SEI GMF are expected to decrease at a much smaller rate. During bear market, SEI GMF is likely to outperform the market.
2 Months Beta |Analyze SEI GMF UK Demand Trend
Check current 30 days SEI GMF correlation with market (DOW)
β = -0.06

SEI GMF Central Daily Price Deviation

SEI GMF UK 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.

SEI GMF Projected Return Density Against Market

Assuming 30 trading days horizon, SEI GMF UK Core Fxd Intr GBP Wlth A has beta of -0.06 . This indicates as returns on benchmark increase, returns on holding SEI GMF are expected to decrease at a much smaller rate. During bear market, however, SEI GMF UK Core Fxd Intr GBP Wlth A is likely to outperform the market. Moreover, SEI GMF UK Core Fxd Intr GBP Wlth A has an alpha of 0.0083 implying that it can potentially generate 0.0083% 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 SEI GMF is -173.21. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.13. The mean deviation of SEI GMF UK Core Fxd Intr GBP Wlth A is currently at 0.1. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
α
Alpha over DOW
=0.0083
β
Beta against DOW=0.06
σ
Overall volatility
=0.13
Ir
Information ratio =0.43

SEI GMF Return Volatility

SEI GMF UK Core Fxd Intr GBP Wlth A accepts 0.1345% volatility on return distribution over the 30 days horizon. DOW inherits 1.3399% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SEI GMF Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

SEI GMF Investment Opportunity

DOW has a standard deviation of returns of 1.34 and is 10.31 times more volatile than SEI GMF UK Core Fxd Intr GBP Wlth A. 1% of all equities and portfolios are less risky than SEI GMF. Compared to the overall equity markets, volatility of historical daily returns of SEI GMF UK Core Fxd Intr GBP Wlth A is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use SEI GMF UK Core Fxd Intr GBP Wlth A to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of SEI GMF to be traded at p;1272.15 in 30 days. As returns on market increase, returns on owning SEI GMF are expected to decrease at a much smaller rate. During bear market, SEI GMF is likely to outperform the market.

SEI GMF correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding SEI GMF UK Core Fxd Intr GBP W and equity matching DJI index in the same portfolio.

SEI GMF Volatility Indicators

SEI GMF UK Core Fxd Intr GBP Wlth A Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
Search macroaxis.com