First State (Ireland) Risk Analysis And Volatility Evaluation

IE00B29SXK94 -- Ireland Fund  

USD 12.46  0.23  1.81%

We consider First State unknown risk. First State Glbl secures Sharpe Ratio (or Efficiency) of 0.097 which denotes First State Glbl had 0.097% of return per unit of risk over the last 1 month. Our philosophy towards predicting 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 First State Glbl Listed Infra I Acc which you can use to evaluate future volatility of the entity. Please confirm First State Glbl Coefficient Of Variation of 281.38 and Mean Deviation of 0.1137 to check if risk estimate we provide are consistent with the epected return of 0.0761%.
 Time Horizon     30 Days    Login   to change

First State Market Sensitivity

As returns on market increase, returns on owning First State are expected to decrease at a much smaller rate. During bear market, First State is likely to outperform the market.
One Month Beta |Analyze First State Glbl Demand Trend
Check current 30 days First State correlation with market (DOW)
β = -0.0388
First State Almost negative betaFirst State Glbl Beta Legend

First State Glbl 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.

Projected Return Density Against Market

Assuming 30 trading days horizon, First State Glbl Listed Infra I Acc has beta of -0.0388 . This indicates as returns on benchmark increase, returns on holding First State are expected to decrease at a much smaller rate. During bear market, however, First State Glbl Listed Infra I Acc is likely to outperform the market. Moreover, First State Glbl Listed Infra I Acc has an alpha of 0.0608 implying that it can potentially generate 0.0608% 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 First State is 1030.41. The daily returns are destributed with a variance of 0.61 and standard deviation of 0.78. The mean deviation of First State Glbl Listed Infra I Acc is currently at 0.51. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.06
β
Beta against DOW=0.04
σ
Overall volatility
=0.78
Ir
Information ratio =0.4

Actual Return Volatility

First State Glbl Listed Infra I Acc accepts 0.784% volatility on return distribution over the 30 days horizon. DOW inherits 0.63% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

First State Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

First State Investment Opportunity
First State Glbl Listed Infra I Acc has a volatility of 0.78 and is 1.24 times more volatile than DOW. 7% of all equities and portfolios are less risky than First State. Compared to the overall equity markets, volatility of historical daily returns of First State Glbl Listed Infra I Acc is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use First State Glbl Listed Infra I Acc to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of First State to be traded at $12.09 in 30 days. As returns on market increase, returns on owning First State are expected to decrease at a much smaller rate. During bear market, First State is likely to outperform the market.

First State correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding First State Glbl Listed Infra and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.