Vanguard SRI (Ireland) Risk Analysis And Volatility Evaluation

IE00B5456744 -- Ireland Fund  

EUR 206.36  7.51  3.78%

Macroaxis considers Vanguard SRI to be unknown risk. Vanguard SRI Global owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.007 which indicates Vanguard SRI Global had -0.007% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Vanguard SRI Global Stock Instl EUR exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vanguard SRI Coefficient Of Variation of 2078.87 and Risk Adjusted Performance of 0.0315 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Vanguard SRI Market Sensitivity

As returns on market increase, returns on owning Vanguard SRI are expected to decrease at a much smaller rate. During bear market, Vanguard SRI is likely to outperform the market.
One Month Beta |Analyze Vanguard SRI Global Demand Trend
Check current 30 days Vanguard SRI correlation with market (DOW)
β = -0.2119
Vanguard SRI Almost negative betaVanguard SRI Global Beta Legend

Vanguard SRI Global Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard SRI Global Stock Instl EUR has beta of -0.2119 . This indicates as returns on benchmark increase, returns on holding Vanguard SRI are expected to decrease at a much smaller rate. During bear market, however, Vanguard SRI Global Stock Instl EUR is likely to outperform the market. Moreover, Vanguard SRI Global Stock Instl EUR has an alpha of 0.0556 implying that it can potentially generate 0.0556% 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 Vanguard SRI is -14199.28. The daily returns are destributed with a variance of 5.58 and standard deviation of 2.36. The mean deviation of Vanguard SRI Global Stock Instl EUR is currently at 1.53. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.06
β
Beta against DOW=0.21
σ
Overall volatility
=2.36
Ir
Information ratio =0.13

Actual Return Volatility

Vanguard SRI Global Stock Instl EUR accepts 2.3628% volatility on return distribution over the 30 days horizon. DOW inherits 0.6284% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vanguard SRI Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Vanguard SRI Investment Opportunity
Vanguard SRI Global Stock Instl EUR has a volatility of 2.36 and is 3.75 times more volatile than DOW. 21% of all equities and portfolios are less risky than Vanguard SRI. Compared to the overall equity markets, volatility of historical daily returns of Vanguard SRI Global Stock Instl EUR is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use Vanguard SRI Global Stock Instl EUR to enhance returns of your portfolios. The fund experiences unexpected upward trend. Watch out for market signals. Check odds of Vanguard SRI to be traded at €247.63 in 30 days. As returns on market increase, returns on owning Vanguard SRI are expected to decrease at a much smaller rate. During bear market, Vanguard SRI is likely to outperform the market.

Vanguard SRI correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Vanguard SRI Global Stock Inst and equity matching DJI index in the same portfolio.
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