GAM Star (Ireland) Risk Analysis And Volatility Evaluation

IE00BJ358333 -- Ireland Fund  

USD 12.15  0.16  1.33%

Macroaxis considers GAM Star unknown risk given 1 month investment horizon. GAM Star Cautious holds Efficiency (Sharpe) Ratio of 0.5774 which attests that GAM Star Cautious had 0.5774% of return per unit of risk over the last 1 month. Our approach towards determining 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 GAM Star Cautious which you can use to evaluate future volatility of the entity. Please utilize GAM Star to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

GAM Star Market Sensitivity

As returns on market increase, GAM Star returns are expected to increase less than the market. However during bear market, the loss on holding GAM Star will be expected to be smaller as well.
One Month Beta |Analyze GAM Star Cautious Demand Trend
Check current 30 days GAM Star correlation with market (DOW)
β = 0.3621
GAM Star Small BetaGAM Star Cautious Beta Legend

GAM Star Cautious Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

GAM Star Projected Return Density Against Market

Assuming 30 trading days horizon, GAM Star has beta of 0.3621 . This indicates as returns on market go up, GAM Star average returns are expected to increase less than the benchmark. However during bear market, the loss on holding GAM Star Cautious A USD Acc will be expected to be much smaller as well. Additionally, GAM Star Cautious A USD Acc 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 GAM Star is 173.21. The daily returns are destributed with a variance of 0.59 and standard deviation of 0.77. The mean deviation of GAM Star Cautious A USD Acc is currently at 0.59. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.33
β
Beta against DOW=0.36
σ
Overall volatility
=0.77
Ir
Information ratio =1.02

GAM Star Return Volatility

GAM Star Cautious A USD Acc accepts 0.7704% 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

GAM Star Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

GAM Star Investment Opportunity

GAM Star Cautious A USD Acc has a volatility of 0.77 and is 1.83 times more volatile than DOW. 7% of all equities and portfolios are less risky than GAM Star. Compared to the overall equity markets, volatility of historical daily returns of GAM Star Cautious A USD Acc is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use GAM Star Cautious A USD Acc to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of GAM Star to be traded at $13.37 in 30 days. As returns on market increase, GAM Star returns are expected to increase less than the market. However during bear market, the loss on holding GAM Star will be expected to be smaller as well.

GAM Star correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding GAM Star Cautious A USD Acc and equity matching DJI index in the same portfolio.

GAM Star Volatility Indicators

GAM Star Cautious A USD Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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