Lyxor Tiedemann (Ireland) Risk Analysis And Volatility Evaluation

IE00B9CB6D86 -- Ireland Fund  

GBp 11,063  32.00  0.29%

We consider Lyxor Tiedemann unknown risk. Lyxor Tiedemann Arbi has Sharpe Ratio of 0.039 which conveys that Lyxor Tiedemann Arbi had 0.039% 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 Lyxor Tiedemann which you can use to evaluate future volatility of the organization. Please verify Lyxor Tiedemann Arbitrage Strat I GBP to check out if risk estimate we provide are consistent with the epected return of 0.0077%.
Horizon     30 Days    Login   to change

Lyxor Tiedemann Arbi Technical Analysis

Transformation
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Lyxor Tiedemann Projected Return Density Against Market

Assuming 30 trading days horizon, Lyxor Tiedemann has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Lyxor Tiedemann are completely uncorrelated. Furthermore, Lyxor Tiedemann Arbitrage Strat I GBPIt does not look like Lyxor Tiedemann alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Lyxor Tiedemann is 2563.26. The daily returns are destributed with a variance of 0.04 and standard deviation of 0.2. The mean deviation of Lyxor Tiedemann Arbitrage Strat I GBP is currently at 0.11. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.20
Ir
Information ratio =0.00

Lyxor Tiedemann Return Volatility

Lyxor Tiedemann Arbitrage Strat I GBP accepts 0.1974% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lyxor Tiedemann Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Lyxor Tiedemann Investment Opportunity

DOW has a standard deviation of returns of 0.39 and is 1.95 times more volatile than Lyxor Tiedemann Arbitrage Strat I GBP. 1% of all equities and portfolios are less risky than Lyxor Tiedemann. Compared to the overall equity markets, volatility of historical daily returns of Lyxor Tiedemann Arbitrage Strat I GBP is lower than 1 (%) of all global equities and portfolios over the last 30 days.

Lyxor Tiedemann Volatility Indicators

Lyxor Tiedemann Arbitrage Strat I GBP Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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