Artisan Global (Ireland) Risk Analysis And Volatility Evaluation

IE00B4M6YD48 -- Ireland Fund  

EUR 11.88  0.02  0.17%

Macroaxis considers Artisan Global to be unknown risk. Artisan Global Value secures Sharpe Ratio (or Efficiency) of -0.5774 which signifies that Artisan Global Value had -0.5774% of return per unit of risk over the last 2 months. Macroaxis philosophy towards foreseeing 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. Artisan Global Value I EUR Acc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Artisan Global Value Risk Adjusted Performance of 0.3138 and Mean Deviation of 0.8448 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Artisan Global Market Sensitivity

As returns on market increase, Artisan Global returns are expected to increase less than the market. However during bear market, the loss on holding Artisan Global will be expected to be smaller as well.
2 Months Beta |Analyze Artisan Global Value Demand Trend
Check current 30 days Artisan Global correlation with market (DOW)
β = 0.3704

Artisan Global Central Daily Price Deviation

Artisan Global Value Technical Analysis

Transformation
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Artisan Global Projected Return Density Against Market

Assuming 30 trading days horizon, Artisan Global has beta of 0.3704 . This indicates as returns on market go up, Artisan Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Artisan Global Value I EUR Acc will be expected to be much smaller as well. Moreover, Artisan Global Value I EUR Acc has an alpha of 0.3753 implying that it can potentially generate 0.3753% 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 Artisan Global is -173.21. The daily returns are destributed with a variance of 1.77 and standard deviation of 1.33. The mean deviation of Artisan Global Value I EUR Acc is currently at 1.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.32
α
Alpha over DOW
=0.38
β
Beta against DOW=0.37
σ
Overall volatility
=1.33
Ir
Information ratio =0.35

Artisan Global Return Volatility

Artisan Global Value I EUR Acc accepts 1.3294% volatility on return distribution over the 30 days horizon. DOW inherits 1.3471% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Artisan Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Artisan Global Investment Opportunity

DOW has a standard deviation of returns of 1.35 and is 1.02 times more volatile than Artisan Global Value I EUR Acc. 12% of all equities and portfolios are less risky than Artisan Global. Compared to the overall equity markets, volatility of historical daily returns of Artisan Global Value I EUR Acc is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Artisan Global Value I EUR Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Artisan Global to be traded at €11.76 in 30 days. As returns on market increase, Artisan Global returns are expected to increase less than the market. However during bear market, the loss on holding Artisan Global will be expected to be smaller as well.

Artisan Global correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Artisan Global Value I EUR Acc and equity matching DJI index in the same portfolio.

Artisan Global Volatility Indicators

Artisan Global Value I EUR Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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