Loomis Sayles (Ireland) Risk Analysis And Volatility Evaluation

IE00B23XDW28 -- Ireland Fund  

USD 21.73  0.10  0.46%

Macroaxis considers Loomis Sayles to be unknown risk. Loomis Sayles High has Sharpe Ratio of -0.5774 which conveys that Loomis Sayles High had -0.5774% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Loomis Sayles exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Loomis Sayles High Income Fd SA USD to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Loomis Sayles High Technical Analysis

Transformation
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Loomis Sayles Projected Return Density Against Market

Assuming 30 trading days horizon, Loomis Sayles has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Loomis Sayles are completely uncorrelated. Furthermore, Loomis Sayles High Income Fd SA USDIt 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 -173.21. The daily returns are destributed with a variance of 0.58 and standard deviation of 0.76. The mean deviation of Loomis Sayles High Income Fd SA USD is currently at 0.59. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.76
Ir
Information ratio =0.00

Loomis Sayles Return Volatility

Loomis Sayles High Income Fd SA USD accepts 0.7604% volatility on return distribution over the 30 days horizon. DOW inherits 1.0618% 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

Insignificant

Investment Outlook

Loomis Sayles Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.39 times more volatile than Loomis Sayles High Income Fd SA USD. 6% 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 High Income Fd SA USD is lower than 6 (%) of all global equities and portfolios over the last 30 days.

Loomis Sayles Volatility Indicators

Loomis Sayles High Income Fd SA USD Current Risk Indicators

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