Babson Capital (Ireland) Risk Analysis And Volatility Evaluation

IE00B6YX4Q04 -- Ireland Fund  

USD 101.29  0.06  0.06%

We consider Babson Capital unknown risk. Babson Capital European secures Sharpe Ratio (or Efficiency) of 0.6184 which signifies that Babson Capital European had 0.6184% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Babson Capital European Loan A USD which you can use to evaluate future volatility of the entity. Please confirm Babson Capital European to double-check if risk estimate we provide are consistent with the epected return of 0.0366%.
 Time Horizon     30 Days    Login   to change

Babson Capital European Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Babson Capital has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Babson Capital are completely uncorrelated. Furthermore, Babson Capital European Loan A USDIt does not look like Babson Capital alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Babson Capital is 161.7. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.06. The mean deviation of Babson Capital European Loan A USD is currently at 0.04. 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
=0.06
Ir
Information ratio =0.00

Actual Return Volatility

Babson Capital European Loan A USD accepts 0.0592% 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

Babson Capital Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Babson Capital Investment Opportunity
DOW has a standard deviation of returns of 0.56 and is 9.33 times more volatile than Babson Capital European Loan A USD. 0% of all equities and portfolios are less risky than Babson Capital. Compared to the overall equity markets, volatility of historical daily returns of Babson Capital European Loan A USD is lower than 0 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Babson Capital Current Risk Indicators
Please also check Risk vs Return Analysis. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.