Macroaxis considers Russell OW to be unknown risk. Russell OW Glbl maintains Sharpe Ratio (i.e. Efficiency) of -0.4076 which implies Russell OW Glbl had -0.4076% of return per unit of risk over the last 2 months. Macroaxis philosophy towards forecasting 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. Russell OW Glbl exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Russell OW Glbl Coefficient Of Variation of
(624.87) and Risk Adjusted Performance of (0.32) to confirm risk estimate we provide.
|Horizon||30 Days Login to change|
Russell OW Market Sensitivity
|As returns on market increase, Russell OW returns are expected to increase less than the market. However during bear market, the loss on holding Russell OW will be expected to be smaller as well. 2 Months Beta |Analyze Russell OW Glbl Demand TrendCheck current 30 days Russell OW correlation with market (DOW)|
β = 0.1239
Russell OW Central Daily Price Deviation
Russell OW Glbl Technical Analysis
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Russell OW Projected Return Density Against MarketAssuming 30 trading days horizon, Russell OW has beta of 0.1239 . This indicates as returns on market go up, Russell OW average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Russell OW Glbl High Dividend Eq B USD will be expected to be much smaller as well. Additionally, Russell OW Glbl High Dividend Eq B USD 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
Assuming 30 trading days horizon, the coefficient of variation of Russell OW is -245.36. The daily returns are destributed with a variance of 2.3 and standard deviation of 1.52. The mean deviation of Russell OW Glbl High Dividend Eq B USD is currently at 1.25. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
|Alpha over DOW||=||0.15|
|Beta against DOW||=||0.12|
Russell OW Return VolatilityRussell OW Glbl High Dividend Eq B USD accepts 1.5155% volatility on return distribution over the 30 days horizon. DOW inherits 2.0235% risk (volatility on return distribution) over the 30 days horizon.
DOW has a standard deviation of returns of 2.02 and is 1.33 times more volatile than Russell OW Glbl High Dividend Eq B USD. 13% of all equities and portfolios are less risky than Russell OW. Compared to the overall equity markets, volatility of historical daily returns of Russell OW Glbl High Dividend Eq B USD is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Russell OW Glbl High Dividend Eq B USD to protect your portfolios against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Russell OW to be traded at $1032.61 in 30 days. . As returns on market increase, Russell OW returns are expected to increase less than the market. However during bear market, the loss on holding Russell OW will be expected to be smaller as well.
Russell OW correlation with market