Lazard EM (Ireland) Risk Analysis And Volatility Evaluation

IE00B4P2Z363 -- Ireland Fund  

EUR 84.71  0.42  0.50%

Macroaxis considers Lazard EM to be unknown risk. Lazard EM TotRet has Sharpe Ratio of -0.2404 which conveys that Lazard EM TotRet had -0.2404% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Lazard EM exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Lazard EM TotRet Dbt Instl B EUR Hdg to check out risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Lazard EM TotRet Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Lazard EM has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Lazard EM are completely uncorrelated. Furthermore, Lazard EM TotRet Dbt Instl B EUR HdgIt does not look like Lazard EM alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Lazard EM is -415.91. The daily returns are destributed with a variance of 2.52 and standard deviation of 1.59. The mean deviation of Lazard EM TotRet Dbt Instl B EUR Hdg is currently at 1.06. For similar time horizon, the selected benchmark (DOW) has volatility of 0.55
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.59
Ir
Information ratio =0.00

Actual Return Volatility

Lazard EM TotRet Dbt Instl B EUR Hdg accepts 1.5859% volatility on return distribution over the 30 days horizon. DOW inherits 0.5519% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lazard EM Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Lazard EM Investment Opportunity
Lazard EM TotRet Dbt Instl B EUR Hdg has a volatility of 1.59 and is 2.89 times more volatile than DOW. 14% of all equities and portfolios are less risky than Lazard EM. Compared to the overall equity markets, volatility of historical daily returns of Lazard EM TotRet Dbt Instl B EUR Hdg is lower than 14 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Lazard EM Current Risk Indicators
Please also check Risk vs Return Analysis. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.