Cullen NA (Ireland) Risk Analysis And Volatility Evaluation

IE00B4YC4G39 -- Ireland Fund  

GBp 1,584  90.00  5.38%

Macroaxis considers Cullen NA to be unknown risk. Cullen NA Hi secures Sharpe Ratio (or Efficiency) of -0.2541 which signifies that Cullen NA Hi had -0.2541% of return per unit of risk over the last 1 month. 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. Cullen NA Hi Div Val Eq GBP E Acc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Cullen NA Hi to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Cullen NA Hi Technical Analysis

Transformation
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Cullen NA Projected Return Density Against Market

Assuming 30 trading days horizon, Cullen NA has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Cullen NA are completely uncorrelated. Furthermore, Cullen NA Hi Div Val Eq GBP E AccIt does not look like Cullen NA alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Cullen NA is -393.62. The daily returns are destributed with a variance of 3.39 and standard deviation of 1.84. The mean deviation of Cullen NA Hi Div Val Eq GBP E Acc is currently at 1.35. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.84
Ir
Information ratio =0.00

Cullen NA Return Volatility

Cullen NA Hi Div Val Eq GBP E Acc accepts 1.8404% volatility on return distribution over the 30 days horizon. DOW inherits 1.0678% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Cullen NA Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Cullen NA Investment Opportunity

Cullen NA Hi Div Val Eq GBP E Acc has a volatility of 1.84 and is 1.72 times more volatile than DOW. 16% of all equities and portfolios are less risky than Cullen NA. Compared to the overall equity markets, volatility of historical daily returns of Cullen NA Hi Div Val Eq GBP E Acc is lower than 16 (%) of all global equities and portfolios over the last 30 days.

Cullen NA Volatility Indicators

Cullen NA Hi Div Val Eq GBP E Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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