Loomis Sayles (Ireland) Risk Analysis And Volatility Evaluation

IE00B1Z6CX63 -- Ireland Fund  

EUR 16.73  0.03  0.18%

We consider Loomis Sayles unknown risk. Loomis Sayles Multisect has Sharpe Ratio of 0.2441 which conveys that Loomis Sayles Multisect had 0.2441% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Loomis Sayles which you can use to evaluate future volatility of the organization. Please verify Loomis Sayles Multisect Inc Fd H IA EUR to check out if risk estimate we provide are consistent with the epected return of 0.02%.
 Time Horizon     30 Days    Login   to change

Loomis Sayles Multisect Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Loomis Sayles has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Loomis Sayles are completely uncorrelated. Furthermore, Loomis Sayles Multisect Inc Fd H IA EURIt does not look like Loomis Sayles alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Loomis Sayles is 409.58. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.08. The mean deviation of Loomis Sayles Multisect Inc Fd H IA EUR is currently at 0.05. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.08
Ir
Information ratio =0.00

Actual Return Volatility

Loomis Sayles Multisect Inc Fd H IA EUR accepts 0.0818% volatility on return distribution over the 30 days horizon. DOW inherits 0.5701% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Loomis Sayles Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Loomis Sayles Investment Opportunity
DOW has a standard deviation of returns of 0.57 and is 7.12 times more volatile than Loomis Sayles Multisect Inc Fd H IA EUR. 0% of all equities and portfolios are less risky than Loomis Sayles. Compared to the overall equity markets, volatility of historical daily returns of Loomis Sayles Multisect Inc Fd H IA EUR is lower than 0 (%) of all global equities and portfolios over the last 30 days.

Loomis Sayles Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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