MGI Global (Ireland) Risk Analysis And Volatility Evaluation

IE00B61G8K48 -- Ireland Fund  

GBp 19,290  161.00  0.84%

Macroaxis considers MGI Global to be unknown risk. MGI Global Equity has Sharpe Ratio of -0.5774 which conveys that MGI Global Equity had -0.5774% of return per unit of volatility over the last 2 months. Macroaxis way of estimating 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. MGI Global exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MGI Global Equity M 2 Hdg Risk Adjusted Performance of (0.16) and Mean Deviation of 0.1467 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

MGI Global Market Sensitivity

As returns on market increase, MGI Global returns are expected to increase less than the market. However during bear market, the loss on holding MGI Global will be expected to be smaller as well.
2 Months Beta |Analyze MGI Global Equity Demand Trend
Check current 30 days MGI Global correlation with market (DOW)
β = 0.0058

MGI Global Central Daily Price Deviation

MGI Global Equity Technical Analysis

Transformation
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MGI Global Projected Return Density Against Market

Assuming 30 trading days horizon, MGI Global has beta of 0.0058 . This indicates as returns on market go up, MGI Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding MGI Global Equity M 2 Hdg will be expected to be much smaller as well. Additionally, MGI Global Equity M 2 Hdg 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 MGI Global is -173.21. The daily returns are destributed with a variance of 1.64 and standard deviation of 1.28. The mean deviation of MGI Global Equity M 2 Hdg is currently at 0.99. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.05
β
Beta against DOW=0.0058
σ
Overall volatility
=1.28
Ir
Information ratio =0.15

MGI Global Return Volatility

MGI Global Equity M 2 Hdg accepts 1.2818% volatility on return distribution over the 30 days horizon. DOW inherits 1.2955% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MGI Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

MGI Global Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 1.02 times more volatile than MGI Global Equity M 2 Hdg. 11% of all equities and portfolios are less risky than MGI Global. Compared to the overall equity markets, volatility of historical daily returns of MGI Global Equity M 2 Hdg is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use MGI Global Equity M 2 Hdg to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of MGI Global to be traded at p;21219.0 in 30 days. As returns on market increase, MGI Global returns are expected to increase less than the market. However during bear market, the loss on holding MGI Global will be expected to be smaller as well.

MGI Global correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding MGI Global Equity M 2 Hdg and equity matching DJI index in the same portfolio.

MGI Global Volatility Indicators

MGI Global Equity M 2 Hdg Current Risk Indicators

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