Nedgroup Inv (Ireland) Risk Analysis And Volatility Evaluation

IE00B9CBCV86 -- Ireland Fund  

USD 10.67  0.10  0.93%

Macroaxis considers Nedgroup Inv to be unknown risk. Nedgroup Inv MultiFunds has Sharpe Ratio of -0.7251 which conveys that Nedgroup Inv MultiFunds had -0.7251% of return per unit of risk over the last 2 months. 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. Nedgroup Inv exposes twenty different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Nedgroup Inv MultiFunds Balanced C USD Coefficient Of Variation of 770.17, Mean Deviation of 0.1473 and Risk Adjusted Performance of 0.1188 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Nedgroup Inv Market Sensitivity

As returns on market increase, returns on owning Nedgroup Inv are expected to decrease at a much smaller rate. During bear market, Nedgroup Inv is likely to outperform the market.
2 Months Beta |Analyze Nedgroup Inv MultiFunds Demand Trend
Check current 30 days Nedgroup Inv correlation with market (DOW)
β = -0.0242

Nedgroup Inv Central Daily Price Deviation

Nedgroup Inv MultiFunds Technical Analysis

Transformation
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Nedgroup Inv Projected Return Density Against Market

Assuming 30 trading days horizon, Nedgroup Inv MultiFunds Balanced C USD has beta of -0.0242 . This indicates as returns on benchmark increase, returns on holding Nedgroup Inv are expected to decrease at a much smaller rate. During bear market, however, Nedgroup Inv MultiFunds Balanced C USD is likely to outperform the market. Moreover, Nedgroup Inv MultiFunds Balanced C USD has an alpha of 0.0159 implying that it can potentially generate 0.0159% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Nedgroup Inv is -137.92. The daily returns are destributed with a variance of 0.08 and standard deviation of 0.28. The mean deviation of Nedgroup Inv MultiFunds Balanced C USD is currently at 0.25. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.0159
β
Beta against DOW=0.02
σ
Overall volatility
=0.28
Ir
Information ratio =0.61

Nedgroup Inv Return Volatility

Nedgroup Inv MultiFunds Balanced C USD accepts 0.2822% volatility on return distribution over the 30 days horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Nedgroup Inv Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Nedgroup Inv Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 4.57 times more volatile than Nedgroup Inv MultiFunds Balanced C USD. 2% of all equities and portfolios are less risky than Nedgroup Inv. Compared to the overall equity markets, volatility of historical daily returns of Nedgroup Inv MultiFunds Balanced C USD is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Nedgroup Inv MultiFunds Balanced C USD to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Nedgroup Inv to be traded at $10.46 in 30 days. As returns on market increase, returns on owning Nedgroup Inv are expected to decrease at a much smaller rate. During bear market, Nedgroup Inv is likely to outperform the market.

Nedgroup Inv correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Nedgroup Inv MultiFunds Balanc and equity matching DJI index in the same portfolio.

Nedgroup Inv Volatility Indicators

Nedgroup Inv MultiFunds Balanced C USD Current Risk Indicators

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