SWMC Small (Ireland) Risk Analysis And Volatility Evaluation

IE00B3X68X40 -- Ireland Fund  

EUR 139.41  3.40  2.38%

Macroaxis considers SWMC Small to be unknown risk. SWMC Small Cap owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5774 which indicates SWMC Small Cap had -0.5774% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy towards measuring 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. SWMC Small Cap European A EUR exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SWMC Small to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

SWMC Small Cap Technical Analysis

Transformation
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SWMC Small Projected Return Density Against Market

Assuming 30 trading days horizon, SWMC Small has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and SWMC Small are completely uncorrelated. Furthermore, SWMC Small Cap European A EURIt does not look like SWMC Small alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of SWMC Small is -173.21. The daily returns are destributed with a variance of 10.48 and standard deviation of 3.24. The mean deviation of SWMC Small Cap European A EUR is currently at 2.49. 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
=3.24
Ir
Information ratio =0.00

SWMC Small Return Volatility

SWMC Small Cap European A EUR accepts 3.2368% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SWMC Small Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

SWMC Small Investment Opportunity

SWMC Small Cap European A EUR has a volatility of 3.24 and is 3.06 times more volatile than DOW. 29% of all equities and portfolios are less risky than SWMC Small. Compared to the overall equity markets, volatility of historical daily returns of SWMC Small Cap European A EUR is lower than 29 (%) of all global equities and portfolios over the last 30 days.

SWMC Small Volatility Indicators

SWMC Small Cap European A EUR Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.
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