Comgest Growth (Ireland) Risk Analysis And Volatility Evaluation

IE00B52QBB85 -- Ireland Fund  

USD 35.93  1.50  4.01%

Macroaxis considers Comgest Growth to be unknown risk. Comgest Growth Emerging secures Sharpe Ratio (or Efficiency) of -0.107 which signifies that Comgest Growth Emerging had -0.107% 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. Comgest Growth Emerging Mkts I USD Acc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Comgest Growth Emerging Risk Adjusted Performance of (0.13) and Mean Deviation of 1.38 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Comgest Growth Market Sensitivity

As returns on market increase, Comgest Growth returns are expected to increase less than the market. However during bear market, the loss on holding Comgest Growth will be expected to be smaller as well.
2 Months Beta |Analyze Comgest Growth Emerging Demand Trend
Check current 30 days Comgest Growth correlation with market (DOW)
β = 0.4785

Comgest Growth Central Daily Price Deviation

Comgest Growth Emerging Technical Analysis

Transformation
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Comgest Growth Projected Return Density Against Market

Assuming 30 trading days horizon, Comgest Growth has beta of 0.4785 . This indicates as returns on market go up, Comgest Growth average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Comgest Growth Emerging Mkts I USD Acc will be expected to be much smaller as well. Additionally, Comgest Growth Emerging Mkts I USD Acc 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 Comgest Growth is -934.49. The daily returns are destributed with a variance of 13.77 and standard deviation of 3.71. The mean deviation of Comgest Growth Emerging Mkts I USD Acc is currently at 2.37. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
α
Alpha over DOW
=0.33
β
Beta against DOW=0.48
σ
Overall volatility
=3.71
Ir
Information ratio =0.1

Comgest Growth Return Volatility

Comgest Growth Emerging Mkts I USD Acc accepts 3.711% volatility on return distribution over the 30 days horizon. DOW inherits 1.2766% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Comgest Growth Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Comgest Growth Investment Opportunity

Comgest Growth Emerging Mkts I USD Acc has a volatility of 3.71 and is 2.9 times more volatile than DOW. 33% of all equities and portfolios are less risky than Comgest Growth. Compared to the overall equity markets, volatility of historical daily returns of Comgest Growth Emerging Mkts I USD Acc is lower than 33 (%) of all global equities and portfolios over the last 30 days. Use Comgest Growth Emerging Mkts I USD Acc to protect against small markets fluctuations. The fund experiences very speculative upward sentiment.. Check odds of Comgest Growth to be traded at $34.13 in 30 days. As returns on market increase, Comgest Growth returns are expected to increase less than the market. However during bear market, the loss on holding Comgest Growth will be expected to be smaller as well.

Comgest Growth correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Comgest Growth Emerging Mkts I and equity matching DJI index in the same portfolio.

Comgest Growth Volatility Indicators

Comgest Growth Emerging Mkts I USD Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.
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