BNY Mellon (Ireland) Risk Analysis And Volatility

IE00B42QQV61 -- Ireland Fund  

GBp 2.49  0.0023  0.09%

BNY Mellon is abnormally risky given 2 months investment horizon. BNY Mellon Lg secures Sharpe Ratio (or Efficiency) of 0.3065 which signifies that the fund had 0.3065% of return per unit of volatility over the last 2 months. Our approach towards foreseeing volatility of a fund is to use BNY Mellon Lg market data together with company specific technical indicators. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 98.0557% are justified by taking the suggested risk. Use BNY Mellon Risk Adjusted Performance of (0.21) and Mean Deviation of 0.0957 to evaluate company specific risk that cannot be diversified away.
Horizon     30 Days    Login   to change

BNY Mellon Market Sensitivity

As returns on market increase, returns on owning BNY Mellon are expected to decrease at a much smaller rate. During bear market, BNY Mellon is likely to outperform the market.
2 Months Beta |Analyze BNY Mellon Lg Demand Trend
Check current 30 days BNY Mellon correlation with market (DOW)
β = -0.0229

BNY Mellon Central Daily Price Deviation

BNY Mellon Lg Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. BNY Mellon Lg Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

BNY Mellon Projected Return Density Against Market

Assuming 30 trading days horizon, BNY Mellon Lg Trm Global Eq A GBP Acc has beta of -0.0229 . This indicates as returns on benchmark increase, returns on holding BNY Mellon are expected to decrease at a much smaller rate. During bear market, however, BNY Mellon Lg Trm Global Eq A GBP Acc is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. BNY Mellon Lg is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of BNY Mellon is 326.3. The daily returns are destributed with a variance of 102371.59 and standard deviation of 319.96. The mean deviation of BNY Mellon Lg Trm Global Eq A GBP Acc is currently at 196.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.68
α
Alpha over DOW
=0.06
β
Beta against DOW=0.02
σ
Overall volatility
=319.96
Ir
Information ratio =1.1

BNY Mellon Return Volatility

the fund accepts 319.9556% volatility on return distribution over the 30 days horizon. the entity inherits 0.6894% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BNY Mellon Volatility Factors

60 Days Market Risk

Abnormally risky

Chance of Distress in 24 months

Very Small

60 Days Economic Sensitivity

Moves indifferently to market moves

Investment Outlook

BNY Mellon Investment Opportunity

BNY Mellon Lg Trm Global Eq A GBP Acc has a volatility of 319.96 and is 463.71 times more volatile than DOW. 96% of all equities and portfolios are less risky than BNY Mellon. Compared to the overall equity markets, volatility of historical daily returns of BNY Mellon Lg Trm Global Eq A GBP Acc is higher than 96 (%) of all global equities and portfolios over the last 30 days. Use BNY Mellon Lg Trm Global Eq A GBP Acc to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of BNY Mellon to be traded at p;2.47 in 30 days. . As returns on market increase, returns on owning BNY Mellon are expected to decrease at a much smaller rate. During bear market, BNY Mellon is likely to outperform the market.

BNY Mellon correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding BNY Mellon Lg Trm Global Eq A and equity matching DJI index in the same portfolio.

BNY Mellon Volatility Indicators

BNY Mellon Lg Trm Global Eq A GBP Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Theme Ratings module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Search macroaxis.com