Babson Capital (Ireland) Risk Analysis And Volatility

IE00B6YX4Q04 -- Ireland Fund  

USD 98.31  0.000002  0.00%

Macroaxis considers Babson Capital to be not too risky. Babson Capital European secures Sharpe Ratio (or Efficiency) of -0.2888 which signifies that Babson Capital European had -0.2888% of return per unit of standard deviation over the last 2 months. Macroaxis philosophy in foreseeing 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. Babson Capital European Loan A USD exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Babson Capital European Mean Deviation of 0.3071 and Risk Adjusted Performance of (0.09) to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Babson Capital Market Sensitivity

As returns on market increase, returns on owning Babson Capital are expected to decrease at a much smaller rate. During bear market, Babson Capital is likely to outperform the market.
2 Months Beta |Analyze Babson Capital European Demand Trend
Check current 30 days Babson Capital correlation with market (DOW)
β = -0.0062

Babson Capital Central Daily Price Deviation

Babson Capital European Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Babson Capital European Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Babson Capital Projected Return Density Against Market

Assuming 30 trading days horizon, Babson Capital European Loan A USD has beta of -0.0062 . This indicates as returns on benchmark increase, returns on holding Babson Capital are expected to decrease at a much smaller rate. During bear market, however, Babson Capital European Loan A USD is likely to outperform the market. Additionally, Babson Capital European Loan A 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 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Babson Capital is -346.27. The daily returns are destributed with a variance of 0.34 and standard deviation of 0.58. The mean deviation of Babson Capital European Loan A USD is currently at 0.37. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=0.05
β
Beta against DOW=0.0062
σ
Overall volatility
=0.58
Ir
Information ratio =0.16

Babson Capital Return Volatility

Babson Capital European Loan A USD accepts 0.5807% volatility on return distribution over the 30 days horizon. DOW inherits 2.0235% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Babson Capital Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Moves indifferently to market moves

Investment Outlook

Babson Capital Investment Opportunity

DOW has a standard deviation of returns of 2.02 and is 3.48 times more volatile than Babson Capital European Loan A USD. 5% 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 5 (%) of all global equities and portfolios over the last 30 days. Use Babson Capital European Loan A USD to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Babson Capital to be traded at $103.23 in 30 days. . As returns on market increase, returns on owning Babson Capital are expected to decrease at a much smaller rate. During bear market, Babson Capital is likely to outperform the market.

Babson Capital correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Babson Capital European Loan A and equity matching DJI index in the same portfolio.

Babson Capital Volatility Indicators

Babson Capital European Loan A USD Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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