Vanguard SRI (Ireland) Risk Analysis And Volatility Evaluation

IE00B76VTR58 -- Ireland Fund  

GBp 16,013  45.00  0.28%

Macroaxis considers Vanguard SRI unknown risk given 1 month investment horizon. Vanguard SRI European owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.6954 which indicates Vanguard SRI European had 0.6954% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. By inspecting Vanguard SRI European technical indicators you can presently evaluate if the expected return of 0.5236% is justified by implied risk. Please operate Vanguard SRI to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Vanguard SRI European Technical Analysis

We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard SRI has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Vanguard SRI are completely uncorrelated. Furthermore, Vanguard SRI European Stock GBPIt does not look like Vanguard SRI alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Assuming 30 trading days horizon, the coefficient of variation of Vanguard SRI is 143.8. The daily returns are destributed with a variance of 0.57 and standard deviation of 0.75. The mean deviation of Vanguard SRI European Stock GBP is currently at 0.63. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.00

Actual Return Volatility

Vanguard SRI European Stock GBP accepts 0.753% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Vanguard SRI Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity


Investment Outlook

Vanguard SRI Investment Opportunity
Vanguard SRI European Stock GBP has a volatility of 0.75 and is 9.223372036854776E16 times more volatile than DOW. 6% of all equities and portfolios are less risky than Vanguard SRI. Compared to the overall equity markets, volatility of historical daily returns of Vanguard SRI European Stock GBP is lower than 6 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Vanguard SRI Current Risk Indicators
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