Principal Preferred (Ireland) Risk Analysis And Volatility Evaluation

IE00B5KPPF97 -- Ireland Fund  

JPY 1,549  8.22  0.53%

Macroaxis considers Principal Preferred to be unknown risk. Principal Preferred maintains Sharpe Ratio (i.e. Efficiency) of -0.5032 which implies Principal Preferred had -0.5032% of return per unit of risk over the last 1 month. 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. Principal Preferred exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Principal Preferred to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Principal Preferred Technical Analysis

Transformation
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Principal Preferred Projected Return Density Against Market

Assuming 30 trading days horizon, Principal Preferred has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Principal Preferred are completely uncorrelated. Furthermore, Principal Preferred Secs I JPY Hdg AccIt does not look like Principal Preferred alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Principal Preferred is -198.72. The daily returns are destributed with a variance of 0.06 and standard deviation of 0.25. The mean deviation of Principal Preferred Secs I JPY Hdg Acc is currently at 0.16. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.25
Ir
Information ratio =0.00

Principal Preferred Return Volatility

Principal Preferred Secs I JPY Hdg Acc accepts 0.2484% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Principal Preferred Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Principal Preferred Investment Opportunity

DOW has a standard deviation of returns of 1.05 and is 4.2 times more volatile than Principal Preferred Secs I JPY Hdg Acc. 2% of all equities and portfolios are less risky than Principal Preferred. Compared to the overall equity markets, volatility of historical daily returns of Principal Preferred Secs I JPY Hdg Acc is lower than 2 (%) of all global equities and portfolios over the last 30 days.

Principal Preferred Volatility Indicators

Principal Preferred Secs I JPY Hdg Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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