IE00B45KP075 IR (Ireland) Risk Analysis And Volatility Evaluation

IE00B45KP075 -- Ireland Fund  

EUR 12.87  0.37  2.96%

Macroaxis considers IE00B45KP075 IR unknown risk given 1 month investment horizon. IE00B45KP075 IR retains Efficiency (Sharpe Ratio) of 0.5 which attests that IE00B45KP075 IR had 0.5% of return per unit of price deviation over the last 1 month. Our way in which we are 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 IE00B45KP075 IR technical indicators you can at this moment evaluate if the expected return of 0.74% is justified by implied risk. Please utilize IE00B45KP075 IR Standard Deviation of 1.43 and Market Risk Adjusted Performance of 1.62 to validate if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

IE00B45KP075 IR Market Sensitivity

As returns on market increase, returns on owning IE00B45KP075 IR are expected to decrease at a much smaller rate. During bear market, IE00B45KP075 IR is likely to outperform the market.
One Month Beta |Analyze IE00B45KP075 IR Demand Trend
Check current 30 days IE00B45KP075 IR correlation with market (DOW)
β = -0.1976
IE00B45KP075 IR Almost negative betaIE00B45KP075 IR Beta Legend

IE00B45KP075 IR Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, IE00B45KP075 IR has beta of -0.1976 . This indicates as returns on benchmark increase, returns on holding IE00B45KP075 IR are expected to decrease at a much smaller rate. During bear market, however, IE00B45KP075 IR is likely to outperform the market. Additionally, IE00B45KP075 IR 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 IE00B45KP075 IR is 200.0. The daily returns are destributed with a variance of 2.19 and standard deviation of 1.48. The mean deviation of IE00B45KP075 IR is currently at 1.11. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.29
β
Beta against DOW=0.2
σ
Overall volatility
=1.48
Ir
Information ratio =0.33

Actual Return Volatility

IE00B45KP075 IR accepts 1.48% volatility on return distribution over the 30 days horizon. DOW inherits 0.5977% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IE00B45KP075 IR Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

IE00B45KP075 IR Investment Opportunity
IE00B45KP075 IR has a volatility of 1.48 and is 2.47 times more volatile than DOW. 13% of all equities and portfolios are less risky than IE00B45KP075 IR. Compared to the overall equity markets, volatility of historical daily returns of IE00B45KP075 IR is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use IE00B45KP075 IR to enhance returns of your portfolios. The fund experiences unexpected upward trend. Watch out for market signals. Check odds of IE00B45KP075 IR to be traded at €15.44 in 30 days. As returns on market increase, returns on owning IE00B45KP075 IR are expected to decrease at a much smaller rate. During bear market, IE00B45KP075 IR is likely to outperform the market.

IE00B45KP075 IR correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding IE00B45KP075 IR and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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