Majedie Asset (Ireland) Risk Analysis And Volatility Evaluation

IE00BNGWY083 -- Ireland Fund  

GBp 195.00  2.00  1.04%

Macroaxis considers Majedie Asset unknown risk given 1 month investment horizon. Majedie Asset Mgmt has Sharpe Ratio of 0.3508 which conveys that Majedie Asset Mgmt had 0.3508% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Majedie Asset which you can use to evaluate future volatility of the organization. Please exercise Majedie Asset Mgmt US Equity Z GBP Acc to check out if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Majedie Asset Mgmt Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Majedie Asset has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Majedie Asset are completely uncorrelated. Furthermore, Majedie Asset Mgmt US Equity Z GBP AccIt does not look like Majedie Asset alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Majedie Asset is 285.02. The daily returns are destributed with a variance of 1.44 and standard deviation of 1.2. The mean deviation of Majedie Asset Mgmt US Equity Z GBP Acc is currently at 0.92. For similar time horizon, the selected benchmark (DOW) has volatility of 0.56
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.20
Ir
Information ratio =0.00

Actual Return Volatility

Majedie Asset Mgmt US Equity Z GBP Acc accepts 1.2003% volatility on return distribution over the 30 days horizon. DOW inherits 0.5506% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Majedie Asset Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Majedie Asset Investment Opportunity
Majedie Asset Mgmt US Equity Z GBP Acc has a volatility of 1.2 and is 2.18 times more volatile than DOW. 10% of all equities and portfolios are less risky than Majedie Asset. Compared to the overall equity markets, volatility of historical daily returns of Majedie Asset Mgmt US Equity Z GBP Acc is lower than 10 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Majedie Asset Current Risk Indicators
Please also check Risk vs Return Analysis. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.