Dimensional World (Ireland) Risk Analysis And Volatility Evaluation

IE00B458ZH80 -- Ireland Fund  

USD 12.11  0.16  1.30%

Macroaxis considers Dimensional World to be unknown risk. Dimensional World secures Sharpe Ratio (or Efficiency) of -0.5774 which denotes Dimensional World had -0.5774% of return per unit of risk over the last 1 month. Macroaxis philosophy towards predicting 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. Dimensional World Equity USD exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Dimensional World Coefficient Of Variation of 1,160 and Mean Deviation of 0.8695 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Dimensional World Market Sensitivity

As returns on market increase, Dimensional World returns are expected to increase less than the market. However during bear market, the loss on holding Dimensional World will be expected to be smaller as well.
One Month Beta |Analyze Dimensional World Demand Trend
Check current 30 days Dimensional World correlation with market (DOW)
β = 0.835
Dimensional World Small BetaDimensional World Beta Legend

Dimensional World 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.

Dimensional World Projected Return Density Against Market

Assuming 30 trading days horizon, Dimensional World has beta of 0.835 . This indicates as returns on market go up, Dimensional World average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Dimensional World Equity USD will be expected to be much smaller as well. Moreover, Dimensional World Equity USD has an alpha of 0.0136 implying that it can potentially generate 0.0136% 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 Dimensional World is -173.21. The daily returns are destributed with a variance of 4.65 and standard deviation of 2.16. The mean deviation of Dimensional World Equity USD is currently at 1.66. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.0136
β
Beta against DOW=0.83
σ
Overall volatility
=2.16
Ir
Information ratio =0.0291

Dimensional World Return Volatility

Dimensional World Equity USD accepts 2.157% volatility on return distribution over the 30 days horizon. DOW inherits 1.0603% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Dimensional World Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Dimensional World Investment Opportunity

Dimensional World Equity USD has a volatility of 2.16 and is 2.04 times more volatile than DOW. 19% of all equities and portfolios are less risky than Dimensional World. Compared to the overall equity markets, volatility of historical daily returns of Dimensional World Equity USD is lower than 19 (%) of all global equities and portfolios over the last 30 days. Use Dimensional World Equity USD to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Dimensional World to be traded at $11.75 in 30 days. As returns on market increase, Dimensional World returns are expected to increase less than the market. However during bear market, the loss on holding Dimensional World will be expected to be smaller as well.

Dimensional World correlation with market

Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Dimensional World Equity USD I and equity matching DJI index in the same portfolio.

Dimensional World Volatility Indicators

Dimensional World Equity USD Current Risk Indicators

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