Perkins Global (Ireland) Risk Analysis And Volatility Evaluation

IE00B4QQ9Z78 -- Ireland Fund  

EUR 15.27  0.20  1.29%

Macroaxis considers Perkins Global to be unknown risk. Perkins Global Value maintains Sharpe Ratio (i.e. Efficiency) of -0.463 which implies Perkins Global Value had -0.463% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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. Perkins Global Value exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Perkins Global Value Coefficient Of Variation of 766.15 and Risk Adjusted Performance of 0.08 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Perkins Global Market Sensitivity

As returns on market increase, Perkins Global returns are expected to increase less than the market. However during bear market, the loss on holding Perkins Global will be expected to be smaller as well.
One Month Beta |Analyze Perkins Global Value Demand Trend
Check current 30 days Perkins Global correlation with market (DOW)
β = 0.0931
Perkins Global Small BetaPerkins Global Value Beta Legend

Perkins Global Value Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Perkins Global has beta of 0.0931 . This indicates as returns on market go up, Perkins Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Perkins Global Value A EUR Acc Hedged will be expected to be much smaller as well. Additionally, Perkins Global Value A EUR Acc Hedged 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 Perkins Global is -215.99. The daily returns are destributed with a variance of 0.35 and standard deviation of 0.59. The mean deviation of Perkins Global Value A EUR Acc Hedged is currently at 0.44. For similar time horizon, the selected benchmark (DOW) has volatility of 0.55
α
Alpha over DOW
=0.06
β
Beta against DOW=0.09
σ
Overall volatility
=0.59
Ir
Information ratio =0.5

Actual Return Volatility

Perkins Global Value A EUR Acc Hedged accepts 0.5941% 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

Perkins Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Perkins Global Investment Opportunity
Perkins Global Value A EUR Acc Hedged has a volatility of 0.59 and is 1.07 times more volatile than DOW. 5% 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 5 (%) 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 somewhat bearish sentiment, but market may correct it shortly. Check odds of Perkins Global to be traded at €14.81 in 30 days. As returns on market increase, Perkins Global returns are expected to increase less than the market. However during bear market, the loss on holding Perkins Global will be expected to be smaller as well.

Perkins Global correlation with market

Average 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.

Volatility Indicators

Perkins Global Current Risk Indicators
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