CGWM Select (Ireland) Risk Analysis And Volatility Evaluation

IE00BGLP2096 -- Ireland Fund  

EUR 89.56  0.10  0.11%

Macroaxis considers CGWM Select to be unknown risk. CGWM Select Bond secures Sharpe Ratio (or Efficiency) of -0.288 which signifies that CGWM Select Bond had -0.288% of return per unit of volatility over the last 2 months. Macroaxis approach towards foreseeing risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. CGWM Select Bond A EUR H exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm CGWM Select Bond Risk Adjusted Performance of (0.22) and Mean Deviation of 0.1531 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

CGWM Select Market Sensitivity

As returns on market increase, CGWM Select returns are expected to increase less than the market. However during bear market, the loss on holding CGWM Select will be expected to be smaller as well.
2 Months Beta |Analyze CGWM Select Bond Demand Trend
Check current 30 days CGWM Select correlation with market (DOW)
β = 0.0073

CGWM Select Central Daily Price Deviation

CGWM Select Bond Technical Analysis

Transformation
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CGWM Select Projected Return Density Against Market

Assuming 30 trading days horizon, CGWM Select has beta of 0.0073 . This indicates as returns on market go up, CGWM Select average returns are expected to increase less than the benchmark. However during bear market, the loss on holding CGWM Select Bond A EUR H will be expected to be much smaller as well. Additionally, CGWM Select Bond A EUR H has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of CGWM Select is -347.21. The daily returns are destributed with a variance of 0.04 and standard deviation of 0.19. The mean deviation of CGWM Select Bond A EUR H is currently at 0.14. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.06
β
Beta against DOW=0.0073
σ
Overall volatility
=0.19
Ir
Information ratio =0.15

CGWM Select Return Volatility

CGWM Select Bond A EUR H accepts 0.1928% volatility on return distribution over the 30 days horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

CGWM Select Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

CGWM Select Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 6.74 times more volatile than CGWM Select Bond A EUR H. 1% of all equities and portfolios are less risky than CGWM Select. Compared to the overall equity markets, volatility of historical daily returns of CGWM Select Bond A EUR H is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use CGWM Select Bond A EUR H to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of CGWM Select to be traded at €88.66 in 30 days. As returns on market increase, CGWM Select returns are expected to increase less than the market. However during bear market, the loss on holding CGWM Select will be expected to be smaller as well.

CGWM Select correlation with market

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

CGWM Select Volatility Indicators

CGWM Select Bond A EUR H Current Risk Indicators

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