Dimensional World (Ireland) Risk Analysis And Volatility Evaluation

IE00B56FVB15 -- Ireland Fund  

GBp 1,570  9.00  0.58%

Macroaxis considers Dimensional World unknown risk given 1 month investment horizon. Dimensional World secures Sharpe Ratio (or Efficiency) of 0.6758 which denotes Dimensional World had 0.6758% of return per unit of risk over the last 1 month. Our philosophy towards predicting 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 Dimensional World Allocation 4 which you can use to evaluate future volatility of the entity. Please utilize Dimensional World Coefficient Of Variation of 348.56 and Mean Deviation of 0.5446 to check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Dimensional World Market Sensitivity

As returns on market increase, Dimensional World returns are expected to increase less than the market. However during bear market, the loss on holding Dimensional World will be expected to be smaller as well.
One Month Beta |Analyze Dimensional World Demand Trend
Check current 30 days Dimensional World correlation with market (DOW)
β = 0.1358
Dimensional World Small BetaDimensional World Beta Legend

Dimensional World 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.

Dimensional World Projected Return Density Against Market

Assuming 30 trading days horizon, Dimensional World has beta of 0.1358 . This indicates as returns on market go up, Dimensional World average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Dimensional World Allocation 4 will be expected to be much smaller as well. Moreover, Dimensional World Allocation 4 has an alpha of 0.2147 implying that it can potentially generate 0.2147% 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 Dimensional World is 147.98. The daily returns are destributed with a variance of 0.1 and standard deviation of 0.32. The mean deviation of Dimensional World Allocation 4 is currently at 0.24. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.21
β
Beta against DOW=0.14
σ
Overall volatility
=0.32
Ir
Information ratio =0.08

Dimensional World Return Volatility

Dimensional World Allocation 4 accepts 0.316% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Dimensional World Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Dimensional World Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 1.41 times more volatile than Dimensional World Allocation 4. 2% of all equities and portfolios are less risky than Dimensional World. Compared to the overall equity markets, volatility of historical daily returns of Dimensional World Allocation 4 is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Dimensional World Allocation 4 to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Dimensional World to be traded at p;1727.0 in 30 days. As returns on market increase, Dimensional World returns are expected to increase less than the market. However during bear market, the loss on holding Dimensional World will be expected to be smaller as well.

Dimensional World correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Dimensional World Allocation 4 and equity matching DJI index in the same portfolio.

Dimensional World Volatility Indicators

Dimensional World Allocation 4 Current Risk Indicators

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