New Capital (Ireland) Risk Analysis And Volatility Evaluation

IE00BG6MV538 -- Ireland Fund  

USD 159.15  1.70  1.08%

Macroaxis considers New Capital unknown risk given 1 month investment horizon. New Capital Dynamic has Sharpe Ratio of 0.5774 which conveys that New Capital Dynamic had 0.5774% 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 fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for New Capital which you can use to evaluate future volatility of the organization. Please exercise New Capital Dynamic European Eq USD Ord Mean Deviation of 0.3175 and Risk Adjusted Performance of 0.1383 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

New Capital Market Sensitivity

As returns on market increase, New Capital returns are expected to increase less than the market. However during bear market, the loss on holding New Capital will be expected to be smaller as well.
One Month Beta |Analyze New Capital Dynamic Demand Trend
Check current 30 days New Capital correlation with market (DOW)
β = 0.1242
New Capital Small BetaNew Capital Dynamic Beta Legend

New Capital Dynamic Technical Analysis

Transformation
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New Capital Projected Return Density Against Market

Assuming 30 trading days horizon, New Capital has beta of 0.1242 . This indicates as returns on market go up, New Capital average returns are expected to increase less than the benchmark. However during bear market, the loss on holding New Capital Dynamic European Eq USD Ord will be expected to be much smaller as well. Moreover, New Capital Dynamic European Eq USD Ord has an alpha of 0.144 implying that it can potentially generate 0.144% 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 New Capital is 173.21. The daily returns are destributed with a variance of 0.39 and standard deviation of 0.62. The mean deviation of New Capital Dynamic European Eq USD Ord is currently at 0.48. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.14
β
Beta against DOW=0.12
σ
Overall volatility
=0.62
Ir
Information ratio =0.0025

New Capital Return Volatility

New Capital Dynamic European Eq USD Ord accepts 0.6234% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

New Capital Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

New Capital Investment Opportunity

New Capital Dynamic European Eq USD Ord has a volatility of 0.62 and is 1.48 times more volatile than DOW. 5% of all equities and portfolios are less risky than New Capital. Compared to the overall equity markets, volatility of historical daily returns of New Capital Dynamic European Eq USD Ord is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use New Capital Dynamic European Eq USD Ord to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of New Capital to be traded at $175.07 in 30 days. As returns on market increase, New Capital returns are expected to increase less than the market. However during bear market, the loss on holding New Capital will be expected to be smaller as well.

New Capital correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding New Capital Dynamic European E and equity matching DJI index in the same portfolio.

New Capital Volatility Indicators

New Capital Dynamic European Eq USD Ord Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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