IE00B45KP075 (Ireland) Risk Analysis And Volatility Evaluation

IE00B45KP075 -- Ireland Fund  

EUR 12.87  0.08  0.62%

Macroaxis considers IE00B45KP075 unknown risk given 2 months investment horizon. IE00B45KP075 IR retains Efficiency (Sharpe Ratio) of 0.2604 which attests that IE00B45KP075 IR had 0.2604% of return per unit of price deviation over the last 2 months. Our way in which we are determining volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for IE00B45KP075 which you can use to evaluate future volatility of the entity. Please utilize IE00B45KP075 IR Standard Deviation of 0.5155, Market Risk Adjusted Performance of 0.7029 and Semi Deviation of 0.1563 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

IE00B45KP075 Market Sensitivity

As returns on market increase, IE00B45KP075 returns are expected to increase less than the market. However during bear market, the loss on holding IE00B45KP075 will be expected to be smaller as well.
2 Months Beta |Analyze IE00B45KP075 IR Demand Trend
Check current 30 days IE00B45KP075 correlation with market (DOW)
β = 0.0832

IE00B45KP075 Central Daily Price Deviation

IE00B45KP075 IR Technical Analysis

Transformation
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IE00B45KP075 Projected Return Density Against Market

Assuming 30 trading days horizon, IE00B45KP075 has beta of 0.0832 . This indicates as returns on market go up, IE00B45KP075 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding IE00B45KP075 IR will be expected to be much smaller as well. Moreover, IE00B45KP075 IR has an alpha of 0.0714 implying that it can potentially generate 0.0714% 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 IE00B45KP075 is 384.07. The daily returns are destributed with a variance of 1.52 and standard deviation of 1.23. The mean deviation of IE00B45KP075 IR is currently at 0.86. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.07
β
Beta against DOW=0.08
σ
Overall volatility
=1.23
Ir
Information ratio =0.43

IE00B45KP075 Return Volatility

IE00B45KP075 IR accepts 1.2336% volatility on return distribution over the 30 days horizon. DOW inherits 1.2959% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IE00B45KP075 Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

IE00B45KP075 Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 1.06 times more volatile than IE00B45KP075 IR. 11% of all equities and portfolios are less risky than IE00B45KP075. Compared to the overall equity markets, volatility of historical daily returns of IE00B45KP075 IR is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use IE00B45KP075 IR to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of IE00B45KP075 to be traded at €12.61 in 30 days. As returns on market increase, IE00B45KP075 returns are expected to increase less than the market. However during bear market, the loss on holding IE00B45KP075 will be expected to be smaller as well.

IE00B45KP075 correlation with market

correlation synergy
Modest 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.

IE00B45KP075 Volatility Indicators

IE00B45KP075 IR Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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