R Parus (Ireland) Risk Analysis And Volatility Evaluation

IE00BCBHZ861 -- Ireland Fund  

EUR 105.86  1.35  1.29%

We consider R Parus unknown risk. R Parus C maintains Sharpe Ratio (i.e. Efficiency) of 0.1182 which implies R Parus C had 0.1182% of return per unit of standard deviation over the last 1 month. Our approach towards forecasting volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for R Parus C which you can use to evaluate future volatility of the entity. Please check R Parus C to confirm if risk estimate we provide are consistent with the epected return of 0.0806%.
 Time Horizon     30 Days    Login   to change

R Parus C Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, R Parus has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and R Parus are completely uncorrelated. Furthermore, R Parus C Euro HedgedIt does not look like R Parus alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of R Parus is 845.91. The daily returns are destributed with a variance of 0.47 and standard deviation of 0.68. The mean deviation of R Parus C Euro Hedged is currently at 0.45. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.68
Ir
Information ratio =0.00

Actual Return Volatility

R Parus C Euro Hedged accepts 0.682% volatility on return distribution over the 30 days horizon. DOW inherits 0.63% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

R Parus Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

R Parus Investment Opportunity
R Parus C Euro Hedged has a volatility of 0.68 and is 1.08 times more volatile than DOW. 6% of all equities and portfolios are less risky than R Parus. Compared to the overall equity markets, volatility of historical daily returns of R Parus C Euro Hedged is lower than 6 (%) of all global equities and portfolios over the last 30 days.
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