Neuberger Berman (Ireland) Risk Analysis And Volatility Evaluation

IE00B8PKGK23 -- Ireland Fund  

EUR 9.19  0.08  0.86%

Macroaxis considers Neuberger Berman to be unknown risk. Neuberger Berman GlSr has Sharpe Ratio of -0.4472 which conveys that Neuberger Berman GlSr had -0.4472% 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 to check out risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Neuberger Berman GlSr Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Neuberger Berman has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Neuberger Berman are completely uncorrelated. Furthermore, Neuberger Berman GlSr FlRt EUR AIt does not look like Neuberger Berman alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Neuberger Berman is -223.61. The daily returns are destributed with a variance of 0.15 and standard deviation of 0.39. The mean deviation of Neuberger Berman GlSr FlRt EUR A is currently at 0.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.39
Ir
Information ratio =0.00

Actual Return Volatility

Neuberger Berman GlSr FlRt EUR A accepts 0.3859% volatility on return distribution over the 30 days horizon. DOW inherits 0.5751% 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

Unaffected

Investment Outlook

Neuberger Berman Investment Opportunity
DOW has a standard deviation of returns of 0.58 and is 1.49 times more volatile than Neuberger Berman GlSr FlRt EUR A. 3% 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 3 (%) of all global equities and portfolios over the last 30 days.

Neuberger Berman Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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