Dodge Cox (Ireland) Risk Analysis And Volatility Evaluation

IE00B55H5278 -- Ireland Fund  

EUR 16.21  0.14  0.86%

Macroaxis considers Dodge Cox unknown risk given 2 months investment horizon. Dodge Cox Worldwide secures Sharpe Ratio (or Efficiency) of 0.2879 which denotes Dodge Cox Worldwide had 0.2879% of return per unit of standard deviation over the last 2 months. Our philosophy in predicting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By reviewing Dodge Cox Worldwide technical indicators you can presently evaluate if the expected return of 0.6173% is justified by implied risk. Please utilize Dodge Cox Worldwide Semi Deviation of 0.9938, Mean Deviation of 0.5626 and Downside Deviation of 1.67 to check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Dodge Cox Market Sensitivity

As returns on market increase, returns on owning Dodge Cox are expected to decrease at a much smaller rate. During bear market, Dodge Cox is likely to outperform the market.
2 Months Beta |Analyze Dodge Cox Worldwide Demand Trend
Check current 30 days Dodge Cox correlation with market (DOW)
β = -0.0945

Dodge Cox Central Daily Price Deviation

Dodge Cox Worldwide Technical Analysis

Transformation
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Dodge Cox Projected Return Density Against Market

Assuming 30 trading days horizon, Dodge Cox Worldwide Intl Stock A EUR has beta of -0.0945 . This indicates as returns on benchmark increase, returns on holding Dodge Cox are expected to decrease at a much smaller rate. During bear market, however, Dodge Cox Worldwide Intl Stock A EUR is likely to outperform the market. Additionally, Dodge Cox Worldwide Intl Stock A EUR 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 Dodge Cox is 347.28. The daily returns are destributed with a variance of 4.6 and standard deviation of 2.14. The mean deviation of Dodge Cox Worldwide Intl Stock A EUR is currently at 1.74. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.02
β
Beta against DOW=0.09
σ
Overall volatility
=2.14
Ir
Information ratio =0.14

Dodge Cox Return Volatility

Dodge Cox Worldwide Intl Stock A EUR accepts 2.1438% volatility on return distribution over the 30 days horizon. DOW inherits 1.3081% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Dodge Cox Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Dodge Cox Investment Opportunity

Dodge Cox Worldwide Intl Stock A EUR has a volatility of 2.14 and is 1.63 times more volatile than DOW. 19% of all equities and portfolios are less risky than Dodge Cox. Compared to the overall equity markets, volatility of historical daily returns of Dodge Cox Worldwide Intl Stock A EUR is lower than 19 (%) of all global equities and portfolios over the last 30 days. Use Dodge Cox Worldwide Intl Stock A EUR to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Dodge Cox to be traded at €15.89 in 30 days. As returns on market increase, returns on owning Dodge Cox are expected to decrease at a much smaller rate. During bear market, Dodge Cox is likely to outperform the market.

Dodge Cox correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Dodge Cox Worldwide Intl Stock and equity matching DJI index in the same portfolio.

Dodge Cox Volatility Indicators

Dodge Cox Worldwide Intl Stock A EUR Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.
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