Neuberger Berman (Ireland) Risk Analysis And Volatility Evaluation

IE00B8PKGK23 -- Ireland Fund  

EUR 9.23  0.02  0.22%

We consider Neuberger Berman unknown risk. Neuberger Berman GlSr has Sharpe Ratio of 0.5774 which conveys that Neuberger Berman GlSr had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Neuberger Berman which you can use to evaluate future volatility of the organization. Please verify Neuberger Berman GlSr FlRt EUR A Mean Deviation of 0.0178 and Risk Adjusted Performance of 0.27 to check out if risk estimate we provide are consistent with the epected return of 0.0724%.
Horizon     30 Days    Login   to change

Neuberger Berman Market Sensitivity

As returns on market increase, returns on owning Neuberger Berman are expected to decrease at a much smaller rate. During bear market, Neuberger Berman is likely to outperform the market.
One Month Beta |Analyze Neuberger Berman GlSr Demand Trend
Check current 30 days Neuberger Berman correlation with market (DOW)
β = -0.0041
Neuberger Berman Almost negative betaNeuberger Berman GlSr Beta Legend

Neuberger Berman GlSr Technical Analysis

Transformation
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Neuberger Berman Projected Return Density Against Market

Assuming 30 trading days horizon, Neuberger Berman GlSr FlRt EUR A has beta of -0.0041 . This indicates as returns on benchmark increase, returns on holding Neuberger Berman are expected to decrease at a much smaller rate. During bear market, however, Neuberger Berman GlSr FlRt EUR A is likely to outperform the market. 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 173.21. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.13. The mean deviation of Neuberger Berman GlSr FlRt EUR A is currently at 0.1. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.02
β
Beta against DOW=0.0041
σ
Overall volatility
=0.13
Ir
Information ratio =5.88

Neuberger Berman Return Volatility

Neuberger Berman GlSr FlRt EUR A accepts 0.1254% volatility on return distribution over the 30 days horizon. DOW inherits 0.4529% 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 0.45 and is 3.46 times more volatile than Neuberger Berman GlSr FlRt EUR A. 1% 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 1 (%) of all global equities and portfolios over the last 30 days. Use Neuberger Berman GlSr FlRt EUR A to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Neuberger Berman to be traded at €9.69 in 30 days. As returns on market increase, returns on owning Neuberger Berman are expected to decrease at a much smaller rate. During bear market, Neuberger Berman is likely to outperform the market.

Neuberger Berman correlation with market

Good 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 Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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