Pzena Global (Ireland) Risk Analysis And Volatility Evaluation

IE00BHBF0S07 -- Ireland Fund  

GBp 15,318  128.00  0.83%

Macroaxis considers Pzena Global to be unknown risk. Pzena Global Expanded maintains Sharpe Ratio (i.e. Efficiency) of -0.2151 which implies Pzena Global Expanded had -0.2151% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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. Pzena Global Expanded exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Pzena Global Expanded to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

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 0.0 . This indicates unless we do not have required data, the returns on DOW and Pzena Global are completely uncorrelated. Furthermore, Pzena Global Expanded Value A GBP AccIt does not look like Pzena Global alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Pzena Global is -464.9. The daily returns are destributed with a variance of 2.16 and standard deviation of 1.47. The mean deviation of Pzena Global Expanded Value A GBP Acc is currently at 0.98. 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
=1.47
Ir
Information ratio =0.00

Pzena Global Return Volatility

Pzena Global Expanded Value A GBP Acc accepts 1.4682% volatility on return distribution over the 30 days horizon. DOW inherits 0.389% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Pzena Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Pzena Global Investment Opportunity

Pzena Global Expanded Value A GBP Acc has a volatility of 1.47 and is 3.77 times more volatile than DOW. 13% 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 13 (%) of all global equities and portfolios over the last 30 days.

Pzena Global Volatility Indicators

Pzena Global Expanded Value A GBP Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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