Pzena Global (Ireland) Risk Analysis And Volatility

IE00BHBF0S07 -- Ireland Fund  

GBp 13,695  238.00  1.71%

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 Pzena Global Expanded which you can use to evaluate future volatility of the fund. Please check Pzena Global Expanded Coefficient Of Variation of (9,098) and Risk Adjusted Performance of (0.025435) to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Pzena Global Market Sensitivity

As returns on market increase, Pzena Global returns are expected to increase less than the market. However during bear market, the loss on holding Pzena Global will be expected to be smaller as well.
2 Months Beta |Analyze Pzena Global Expanded Demand Trend
Check current 30 days Pzena Global correlation with market (DOW)
β = 0.1716

Pzena Global Central Daily Price Deviation

Pzena Global Expanded Technical Analysis

Transformation
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Pzena Global Projected Return Density Against Market

Assuming 30 trading days horizon, Pzena Global has beta of 0.1716 . This indicates as returns on market go up, Pzena Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Pzena Global Expanded Value A GBP Acc will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Pzena Global Expanded is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.03
β
Beta against DOW=0.17
σ
Overall volatility
=0.00
Ir
Information ratio =0.08

Pzena Global Return Volatility

the fund accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 1.8776% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Pzena Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Pzena Global Investment Opportunity

DOW has a standard deviation of returns of 1.88 and is 9.223372036854776E16 times more volatile than Pzena Global Expanded Value A GBP Acc. 0% of all equities and portfolios are less risky than Pzena Global. Compared to the overall equity markets, volatility of historical daily returns of Pzena Global Expanded Value A GBP Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Pzena Global Expanded Value A GBP Acc to protect your portfolios against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Pzena Global to be traded at p;13284.15 in 30 days. . As returns on market increase, Pzena Global returns are expected to increase less than the market. However during bear market, the loss on holding Pzena Global will be expected to be smaller as well.

Pzena Global correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Pzena Global Expanded Value A and equity matching DJI index in the same portfolio.

Pzena Global Volatility Indicators

Pzena Global Expanded Value A GBP Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.
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