Loomis Sayles (Ireland) Risk Analysis And Volatility

IE00B1Z6CX63 -- Ireland Fund  

EUR 16.01  0.20  1.23%

Our philosophy towards estimating volatility of a fund is to use all available market data together with fund 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 Mean Deviation of 0.112 and Risk Adjusted Performance of (0.011304) to check out if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Loomis Sayles Market Sensitivity

As returns on market increase, Loomis Sayles returns are expected to increase less than the market. However during bear market, the loss on holding Loomis Sayles will be expected to be smaller as well.
2 Months Beta |Analyze Loomis Sayles Multisect Demand Trend
Check current 30 days Loomis Sayles correlation with market (DOW)
β = 0.0019

Loomis Sayles Central Daily Price Deviation

Loomis Sayles Multisect Technical Analysis

Transformation
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Loomis Sayles Projected Return Density Against Market

Assuming 30 trading days horizon, Loomis Sayles has beta of 0.0019 . This indicates as returns on market go up, Loomis Sayles average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Loomis Sayles Multisect Inc Fd H IA EUR will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Loomis Sayles Multisect is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.01
β
Beta against DOW=0.0019
σ
Overall volatility
=0.00
Ir
Information ratio =0.27

Loomis Sayles Return Volatility

the fund accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 0.6987% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Loomis Sayles Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Loomis Sayles Investment Opportunity

DOW has a standard deviation of returns of 0.7 and is 9.223372036854776E16 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 Volatility Indicators

Loomis Sayles Multisect Inc Fd H IA EUR Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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