Vanguard SRI (Ireland) Risk Analysis And Volatility Evaluation

IE00B5456744 -- Ireland Fund  

EUR 206.25  3.76  1.79%

Our philosophy towards measuring 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 Vanguard SRI Global Stock Instl EUR which you can use to evaluate future volatility of the fund. Please validate Vanguard SRI Coefficient Of Variation of 440.94 and Risk Adjusted Performance of 0.096 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
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 = -0.6903
Vanguard SRI Almost negative betaVanguard SRI Global Beta Legend

Vanguard SRI Global Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Vanguard SRI Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard SRI Global Stock Instl EUR has beta of -0.6903 . 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 0.3086 implying that it can potentially generate 0.3086% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.31
β
Beta against DOW=0.69
σ
Overall volatility
=0.00
Ir
Information ratio =0.14

Vanguard SRI Return Volatility

Vanguard SRI Global Stock Instl EUR accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% 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

DOW has a standard deviation of returns of 0.39 and is 9.223372036854776E16 times more volatile than Vanguard SRI Global Stock Instl EUR. 0% 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 0 (%) of all global equities and portfolios over the last 30 days. Use Vanguard SRI Global Stock Instl EUR to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Vanguard SRI to be traded at €200.06 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

Very 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.

Vanguard SRI Volatility Indicators

Vanguard SRI Global Stock Instl EUR 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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