Dodge Cox (Ireland) Risk Analysis And Volatility Evaluation

IE00B55H5278 -- Ireland Fund  

EUR 15.64  0.76  4.63%

Macroaxis considers Dodge Cox to be unknown risk. Dodge Cox Worldwide secures Sharpe Ratio (or Efficiency) of -0.4808 which denotes Dodge Cox Worldwide had -0.4808% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in predicting 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. Dodge Cox Worldwide Intl Stock A EUR exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Dodge Cox Worldwide Mean Deviation of 0.5879 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Dodge Cox Market Sensitivity

As returns on market increase, Dodge Cox returns are expected to increase less than the market. However during bear market, the loss on holding Dodge Cox will be expected to be smaller as well.
One Month Beta |Analyze Dodge Cox Worldwide Demand Trend
Check current 30 days Dodge Cox correlation with market (DOW)
β = 0.0968
Dodge Cox Small BetaDodge Cox Worldwide Beta Legend

Dodge Cox Worldwide Technical Analysis

Transformation
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Dodge Cox Projected Return Density Against Market

Assuming 30 trading days horizon, Dodge Cox has beta of 0.0968 . This indicates as returns on market go up, Dodge Cox average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Dodge Cox Worldwide Intl Stock A EUR will be expected to be much smaller as well. Moreover, Dodge Cox Worldwide Intl Stock A EUR has an alpha of 0.1413 implying that it can potentially generate 0.1413% 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 Dodge Cox is -208.0. The daily returns are destributed with a variance of 9.13 and standard deviation of 3.02. The mean deviation of Dodge Cox Worldwide Intl Stock A EUR is currently at 2.16. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
=0.14
β
Beta against DOW=0.1
σ
Overall volatility
=3.02
Ir
Information ratio =0.18

Dodge Cox Return Volatility

Dodge Cox Worldwide Intl Stock A EUR accepts 3.022% 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

Dodge Cox Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Dodge Cox Investment Opportunity

Dodge Cox Worldwide Intl Stock A EUR has a volatility of 3.02 and is 2.82 times more volatile than DOW. 27% 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 27 (%) 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 very speculative upward sentiment.. Check odds of Dodge Cox to be traded at €14.86 in 30 days. As returns on market increase, Dodge Cox returns are expected to increase less than the market. However during bear market, the loss on holding Dodge Cox will be expected to be smaller as well.

Dodge Cox correlation with market

Significant 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

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