Dimensional Emerg (Ireland) Risk Analysis And Volatility Evaluation

IE00B1W6DP85 -- Ireland Fund  

EUR 16.87  0.70  3.98%

Macroaxis considers Dimensional Emerg to be unknown risk. Dimensional Emerg Mkt secures Sharpe Ratio (or Efficiency) of -0.5921 which denotes Dimensional Emerg Mkt had -0.5921% of return per unit of risk over the last 1 month. Macroaxis philosophy towards predicting 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. Dimensional Emerg Mkt Targeted Val B exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Dimensional Emerg Mkt to check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Dimensional Emerg Mkt Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Dimensional Emerg has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Dimensional Emerg are completely uncorrelated. Furthermore, Dimensional Emerg Mkt Targeted Val BIt does not look like Dimensional Emerg alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Dimensional Emerg is -168.9. The daily returns are destributed with a variance of 3.0 and standard deviation of 1.73. The mean deviation of Dimensional Emerg Mkt Targeted Val B is currently at 1.39. 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
=1.73
Ir
Information ratio =0.00

Actual Return Volatility

Dimensional Emerg Mkt Targeted Val B accepts 1.7323% 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

Dimensional Emerg Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Dimensional Emerg Investment Opportunity
Dimensional Emerg Mkt Targeted Val B has a volatility of 1.73 and is 9.223372036854776E16 times more volatile than DOW. 15% of all equities and portfolios are less risky than Dimensional Emerg. Compared to the overall equity markets, volatility of historical daily returns of Dimensional Emerg Mkt Targeted Val B is lower than 15 (%) of all global equities and portfolios over the last 30 days.

Dimensional Emerg Current Risk Indicators

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