Vanguard Glbl (Ireland) Risk Analysis And Volatility Evaluation

IE00BGCC4817 -- Ireland Fund  

USD 141.07  0.76  0.54%

Macroaxis considers Vanguard Glbl unknown risk given 1 month investment horizon. Vanguard Glbl Sm owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5774 which indicates Vanguard Glbl Sm had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 Vanguard Glbl Sm Cap Idx Inv which you can use to evaluate future volatility of the fund. Please operate Vanguard Glbl to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Vanguard Glbl Sm Technical Analysis

Transformation
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Vanguard Glbl Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard Glbl has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Vanguard Glbl are completely uncorrelated. Furthermore, Vanguard Glbl Sm Cap Idx InvIt does not look like Vanguard Glbl alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Vanguard Glbl is 173.21. The daily returns are destributed with a variance of 0.2 and standard deviation of 0.45. The mean deviation of Vanguard Glbl Sm Cap Idx Inv is currently at 0.35. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.45
Ir
Information ratio =0.00

Vanguard Glbl Return Volatility

Vanguard Glbl Sm Cap Idx Inv accepts 0.4496% volatility on return distribution over the 30 days horizon. DOW inherits 0.3625% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vanguard Glbl Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Vanguard Glbl Investment Opportunity

Vanguard Glbl Sm Cap Idx Inv has a volatility of 0.45 and is 1.25 times more volatile than DOW. 4% of all equities and portfolios are less risky than Vanguard Glbl. Compared to the overall equity markets, volatility of historical daily returns of Vanguard Glbl Sm Cap Idx Inv is lower than 4 (%) of all global equities and portfolios over the last 30 days.

Vanguard Glbl Volatility Indicators

Vanguard Glbl Sm Cap Idx Inv Current Risk Indicators

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