Neuberger Berman (Ireland) Risk Analysis And Volatility Evaluation

IE00B8PKGK23 -- Ireland Fund  

EUR 9.12  0.02  0.22%

Macroaxis considers Neuberger Berman to be unknown risk. Neuberger Berman GlSr has Sharpe Ratio of -0.7071 which conveys that Neuberger Berman GlSr had -0.7071% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Neuberger Berman exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Neuberger Berman GlSr FlRt EUR A Mean Deviation of 0.0374 and Risk Adjusted Performance of 0.29 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Neuberger Berman Market Sensitivity

As returns on market increase, Neuberger Berman returns are expected to increase less than the market. However during bear market, the loss on holding Neuberger Berman will be expected to be smaller as well.
One Month Beta |Analyze Neuberger Berman GlSr Demand Trend
Check current 30 days Neuberger Berman correlation with market (DOW)
β = 0.0135

Neuberger Berman Central Daily Price Deviation

Neuberger Berman GlSr Technical Analysis

Transformation
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Neuberger Berman Projected Return Density Against Market

Assuming 30 trading days horizon, Neuberger Berman has beta of 0.0135 . This indicates as returns on market go up, Neuberger Berman average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Neuberger Berman GlSr FlRt EUR A will be expected to be much smaller as well. Additionally, Neuberger Berman GlSr FlRt EUR A 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 Neuberger Berman is -141.42. The daily returns are destributed with a variance of 0.1 and standard deviation of 0.31. The mean deviation of Neuberger Berman GlSr FlRt EUR A is currently at 0.22. For similar time horizon, the selected benchmark (DOW) has volatility of 1.22
α
Alpha over DOW
=0.02
β
Beta against DOW=0.0135
σ
Overall volatility
=0.31
Ir
Information ratio =0.71

Neuberger Berman Return Volatility

Neuberger Berman GlSr FlRt EUR A accepts 0.3088% volatility on return distribution over the 30 days horizon. DOW inherits 1.1967% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Neuberger Berman Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Neuberger Berman Investment Opportunity

DOW has a standard deviation of returns of 1.2 and is 3.87 times more volatile than Neuberger Berman GlSr FlRt EUR A. 2% of all equities and portfolios are less risky than Neuberger Berman. Compared to the overall equity markets, volatility of historical daily returns of Neuberger Berman GlSr FlRt EUR A is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Neuberger Berman GlSr FlRt EUR A to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Neuberger Berman to be traded at €9.03 in 30 days. As returns on market increase, Neuberger Berman returns are expected to increase less than the market. However during bear market, the loss on holding Neuberger Berman will be expected to be smaller as well.

Neuberger Berman correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Neuberger Berman GlSr FlRt Inc and equity matching DJI index in the same portfolio.

Neuberger Berman Volatility Indicators

Neuberger Berman GlSr FlRt EUR A Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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