Perkins Global (Ireland) Risk Analysis And Volatility Evaluation

IE00B4QQ9Z78 -- Ireland Fund  

EUR 14.91  0.00  0.00%

We consider Perkins Global unknown risk. Perkins Global Value maintains Sharpe Ratio (i.e. Efficiency) of 0.0322 which implies Perkins Global Value had 0.0322% of return per unit of risk over the last 2 months. Our philosophy towards forecasting 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 Perkins Global Value which you can use to evaluate future volatility of the fund. Please check Perkins Global Value Coefficient Of Variation of 2001.32, Semi Deviation of 0.4 and Risk Adjusted Performance of 0.0612 to confirm if risk estimate we provide are consistent with the epected return of 0.0391%.
Horizon     30 Days    Login   to change

Perkins Global Market Sensitivity

As returns on market increase, returns on owning Perkins Global are expected to decrease at a much smaller rate. During bear market, Perkins Global is likely to outperform the market.
2 Months Beta |Analyze Perkins Global Value Demand Trend
Check current 30 days Perkins Global correlation with market (DOW)
β = -0.1798

Perkins Global Central Daily Price Deviation

Perkins Global Value Technical Analysis

Transformation
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Perkins Global Projected Return Density Against Market

Assuming 30 trading days horizon, Perkins Global Value A EUR Acc Hedged has beta of -0.1798 . This indicates as returns on benchmark increase, returns on holding Perkins Global are expected to decrease at a much smaller rate. During bear market, however, Perkins Global Value A EUR Acc Hedged is likely to outperform the market. Moreover, Perkins Global Value A EUR Acc Hedged has an alpha of 0.0184 implying that it can potentially generate 0.0184% 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 Perkins Global is 3108.59. The daily returns are destributed with a variance of 1.48 and standard deviation of 1.22. The mean deviation of Perkins Global Value A EUR Acc Hedged is currently at 0.76. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.0184
β
Beta against DOW=0.18
σ
Overall volatility
=1.22
Ir
Information ratio =0.16

Perkins Global Return Volatility

Perkins Global Value A EUR Acc Hedged accepts 1.2162% volatility on return distribution over the 30 days horizon. DOW inherits 1.2955% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Perkins Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Perkins Global Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 1.07 times more volatile than Perkins Global Value A EUR Acc Hedged. 11% of all equities and portfolios are less risky than Perkins Global. Compared to the overall equity markets, volatility of historical daily returns of Perkins Global Value A EUR Acc Hedged is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Perkins Global Value A EUR Acc Hedged to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Perkins Global to be traded at €14.76 in 30 days. As returns on market increase, returns on owning Perkins Global are expected to decrease at a much smaller rate. During bear market, Perkins Global is likely to outperform the market.

Perkins Global correlation with market

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

Perkins Global Volatility Indicators

Perkins Global Value A EUR Acc Hedged Current Risk Indicators

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