GAM Star (Ireland) Risk Analysis And Volatility Evaluation

IE00B3CTGR43 -- Ireland Fund  

USD 16.92  0.11  0.65%

Macroaxis considers GAM Star unknown risk given 1 month investment horizon. GAM Star Japan holds Efficiency (Sharpe) Ratio of 0.8582 which attests that GAM Star Japan had 0.8582% of return per unit of risk over the last 1 month. Our approach towards determining volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. By inspecting GAM Star Japan technical indicators you can right now evaluate if the expected return of 0.7402% is justified by implied risk. Please utilize GAM Star to validate if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

GAM Star Market Sensitivity

As returns on market increase, GAM Star returns are expected to increase less than the market. However during bear market, the loss on holding GAM Star will be expected to be smaller as well.
One Month Beta |Analyze GAM Star Japan Demand Trend
Check current 30 days GAM Star correlation with market (DOW)
β = 0.0825
GAM Star Small BetaGAM Star Japan Beta Legend

GAM Star Japan Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, GAM Star has beta of 0.0825 . This indicates as returns on market go up, GAM Star average returns are expected to increase less than the benchmark. However during bear market, the loss on holding GAM Star Japan Equity Instl USD Acc will be expected to be much smaller as well. Additionally, GAM Star Japan Equity Instl USD Acc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of GAM Star is 116.52. The daily returns are destributed with a variance of 0.74 and standard deviation of 0.86. The mean deviation of GAM Star Japan Equity Instl USD Acc is currently at 0.74. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.13
β
Beta against DOW=0.08
σ
Overall volatility
=0.86
Ir
Information ratio =0.38

Actual Return Volatility

GAM Star Japan Equity Instl USD Acc accepts 0.8624% volatility on return distribution over the 30 days horizon. DOW inherits 0.4414% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

GAM Star Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

GAM Star Investment Opportunity
GAM Star Japan Equity Instl USD Acc has a volatility of 0.86 and is 1.95 times more volatile than DOW. 7% of all equities and portfolios are less risky than GAM Star. Compared to the overall equity markets, volatility of historical daily returns of GAM Star Japan Equity Instl USD Acc is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use GAM Star Japan Equity Instl USD Acc to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of GAM Star to be traded at $18.61 in 30 days. As returns on market increase, GAM Star returns are expected to increase less than the market. However during bear market, the loss on holding GAM Star will be expected to be smaller as well.

GAM Star correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding GAM Star Japan Equity Instl US and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.