Neuberger Berman (Ireland) Risk Analysis And Volatility Evaluation

IE00BF109P17 -- Ireland Fund  

GBp 984.00  6.00  0.61%

We consider Neuberger Berman unknown risk. Neuberger Berman Abs has Sharpe Ratio of 0.002 which conveys that Neuberger Berman Abs had 0.002% 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 company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Neuberger Berman which you can use to evaluate future volatility of the organization. Please verify Neuberger Berman AbsRetMltStrt GBP I2Acc Mean Deviation of 0.1205 and Risk Adjusted Performance of 0.0867 to check out if risk estimate we provide are consistent with the epected return of 0.001%.
 Time Horizon     30 Days    Login   to change

Neuberger Berman Market Sensitivity

As returns on market increase, returns on owning Neuberger Berman are expected to decrease at a much smaller rate. During bear market, Neuberger Berman is likely to outperform the market.
One Month Beta |Analyze Neuberger Berman Abs Demand Trend
Check current 30 days Neuberger Berman correlation with market (DOW)
β = -0.0323
Neuberger Berman Almost negative betaNeuberger Berman Abs Beta Legend

Neuberger Berman Abs Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Neuberger Berman AbsRetMltStrt GBP I2Acc has beta of -0.0323 . This indicates as returns on benchmark increase, returns on holding Neuberger Berman are expected to decrease at a much smaller rate. During bear market, however, Neuberger Berman AbsRetMltStrt GBP I2Acc is likely to outperform the market. Moreover, Neuberger Berman AbsRetMltStrt GBP I2Acc has an alpha of 0.0315 implying that it can potentially generate 0.0315% 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 Neuberger Berman is 49894.55. The daily returns are destributed with a variance of 0.23 and standard deviation of 0.48. The mean deviation of Neuberger Berman AbsRetMltStrt GBP I2Acc is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.0315
β
Beta against DOW=0.03
σ
Overall volatility
=0.48
Ir
Information ratio =0.45

Actual Return Volatility

Neuberger Berman AbsRetMltStrt GBP I2Acc accepts 0.4823% volatility on return distribution over the 30 days horizon. DOW inherits 0.5978% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Neuberger Berman Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Neuberger Berman Investment Opportunity
DOW has a standard deviation of returns of 0.6 and is 1.25 times more volatile than Neuberger Berman AbsRetMltStrt GBP I2Acc. 4% of all equities and portfolios are less risky than Neuberger Berman. Compared to the overall equity markets, volatility of historical daily returns of Neuberger Berman AbsRetMltStrt GBP I2Acc is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Neuberger Berman AbsRetMltStrt GBP I2Acc to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Neuberger Berman to be traded at p;1082.4 in 30 days. As returns on market increase, returns on owning Neuberger Berman are expected to decrease at a much smaller rate. During bear market, Neuberger Berman is likely to outperform the market.

Neuberger Berman correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Neuberger Berman AbsRetMltStrt and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
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