Russell Global (Ireland) Risk Analysis And Volatility Evaluation

IE00BDW02465 -- Ireland Fund  

EUR 1,100  0.46  0.0418%

We consider Russell Global unknown risk. Russell Global Bond maintains Sharpe Ratio (i.e. Efficiency) of 0.5774 which implies Russell Global Bond had 0.5774% of return per unit of risk over the last 2 months. Our philosophy towards forecasting 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 Russell Global Bond which you can use to evaluate future volatility of the fund. Please check Russell Global Bond Coefficient Of Variation of 859.95 and Risk Adjusted Performance of 0.1492 to confirm if risk estimate we provide are consistent with the epected return of 0.1247%.
Horizon     30 Days    Login   to change

Russell Global Market Sensitivity

As returns on market increase, Russell Global returns are expected to increase less than the market. However during bear market, the loss on holding Russell Global will be expected to be smaller as well.
2 Months Beta |Analyze Russell Global Bond Demand Trend
Check current 30 days Russell Global correlation with market (DOW)
β = 0.0135

Russell Global Central Daily Price Deviation

Russell Global Bond Technical Analysis

Transformation
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Russell Global Projected Return Density Against Market

Assuming 30 trading days horizon, Russell Global has beta of 0.0135 . This indicates as returns on market go up, Russell Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Russell Global Bond Q EUR will be expected to be much smaller as well. Moreover, Russell Global Bond Q EUR has an alpha of 0.1359 implying that it can potentially generate 0.1359% 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 Russell Global is 173.21. The daily returns are destributed with a variance of 0.05 and standard deviation of 0.22. The mean deviation of Russell Global Bond Q EUR is currently at 0.17. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.14
β
Beta against DOW=0.0135
σ
Overall volatility
=0.22
Ir
Information ratio =0.20

Russell Global Return Volatility

Russell Global Bond Q EUR accepts 0.216% volatility on return distribution over the 30 days horizon. DOW inherits 1.2955% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Russell Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Russell Global Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 5.91 times more volatile than Russell Global Bond Q EUR. 1% of all equities and portfolios are less risky than Russell Global. Compared to the overall equity markets, volatility of historical daily returns of Russell Global Bond Q EUR is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Russell Global Bond Q EUR to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Russell Global to be traded at €1088.89 in 30 days. As returns on market increase, Russell Global returns are expected to increase less than the market. However during bear market, the loss on holding Russell Global will be expected to be smaller as well.

Russell Global correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Russell Global Bond Q EUR Inc and equity matching DJI index in the same portfolio.

Russell Global Volatility Indicators

Russell Global Bond Q EUR Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Instant Ratings module to determine any equity ratings based on digital recommendations. macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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