Davy Defensive (Ireland) Risk Analysis And Volatility Evaluation

IE00BD8R7M41 -- Ireland Fund  

GBp 121.00  1.00  0.82%

Our philosophy towards predicting 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 technical indicators for Davy Defensive Equityome H GBP which you can use to evaluate future volatility of the entity. Please confirm Davy Defensive Equity Standard Deviation of 2986.01, Mean Deviation of 1677.31 and Coefficient Of Variation of 325.6 to check if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Davy Defensive Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Davy Defensive will likely underperform.
One Month Beta |Analyze Davy Defensive Equity Demand Trend
Check current 30 days Davy Defensive correlation with market (DOW)
β = 95.0
Davy Defensive Large BetaDavy Defensive Equity Beta Legend

Davy Defensive Equity Technical Analysis

Transformation
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Davy Defensive Projected Return Density Against Market

Assuming 30 trading days horizon, the fund has beta coefficient of 95.0 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Davy Defensive will likely underperform. In addition to that, Davy Defensive Equityome H GBP has an alpha of 923.0907 implying that it can potentially generate 923.0907% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=923.09
β
Beta against DOW=95.00
σ
Overall volatility
=0.00
Ir
Information ratio =0.31

Davy Defensive Return Volatility

Davy Defensive Equityome H GBP accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.0565% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Davy Defensive Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Davy Defensive Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 9.223372036854776E16 times more volatile than Davy Defensive Equityome H GBP. 0% of all equities and portfolios are less risky than Davy Defensive. Compared to the overall equity markets, volatility of historical daily returns of Davy Defensive Equityome H GBP is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Davy Defensive Equityome H GBP to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Davy Defensive to be traded at p;118.58 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Davy Defensive will likely underperform.

Davy Defensive correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Davy Defensive Equity Income H and equity matching DJI index in the same portfolio.

Davy Defensive Volatility Indicators

Davy Defensive Equityome H GBP 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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