Majedie Asset (Ireland) Risk Analysis And Volatility Evaluation

IE00BNGWY083 -- Ireland Fund  

GBp 183.00  2.00  1.08%

Macroaxis considers Majedie Asset unknown risk given 2 months investment horizon. Majedie Asset Mgmt has Sharpe Ratio of 0.5725 which conveys that Majedie Asset Mgmt had 0.5725% of return per unit of risk over the last 2 months. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By analyzing Majedie Asset Mgmt technical indicators you can presently evaluate if the expected return of 0.8532% is justified by implied risk. Please exercise Majedie Asset Mgmt US Equity Z GBP Acc Downside Deviation of 2.01, Mean Deviation of 0.8306 and Risk Adjusted Performance of 0.1581 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Majedie Asset Market Sensitivity

As returns on market increase, returns on owning Majedie Asset are expected to decrease at a much smaller rate. During bear market, Majedie Asset is likely to outperform the market.
2 Months Beta |Analyze Majedie Asset Mgmt Demand Trend
Check current 30 days Majedie Asset correlation with market (DOW)
β = -0.2499

Majedie Asset Central Daily Price Deviation

Majedie Asset Mgmt 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.

Majedie Asset Projected Return Density Against Market

Assuming 30 trading days horizon, Majedie Asset Mgmt US Equity Z GBP Acc has beta of -0.2499 . This indicates as returns on benchmark increase, returns on holding Majedie Asset are expected to decrease at a much smaller rate. During bear market, however, Majedie Asset Mgmt US Equity Z GBP Acc is likely to outperform the market. Moreover, Majedie Asset Mgmt US Equity Z GBP Acc has an alpha of 0.1554 implying that it can potentially generate 0.1554% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Majedie Asset is 174.66. The daily returns are destributed with a variance of 2.22 and standard deviation of 1.49. The mean deviation of Majedie Asset Mgmt US Equity Z GBP Acc is currently at 1.15. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
α
Alpha over DOW
=0.16
β
Beta against DOW=0.25
σ
Overall volatility
=1.49
Ir
Information ratio =0.15

Majedie Asset Return Volatility

Majedie Asset Mgmt US Equity Z GBP Acc accepts 1.4901% volatility on return distribution over the 30 days horizon. DOW inherits 1.3014% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Majedie Asset Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Majedie Asset Investment Opportunity

Majedie Asset Mgmt US Equity Z GBP Acc has a volatility of 1.49 and is 1.15 times more volatile than DOW. 13% 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 13 (%) of all global equities and portfolios over the last 30 days. Use Majedie Asset Mgmt US Equity Z GBP Acc to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Majedie Asset to be traded at p;177.51 in 30 days. As returns on market increase, returns on owning Majedie Asset are expected to decrease at a much smaller rate. During bear market, Majedie Asset is likely to outperform the market.

Majedie Asset correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Majedie Asset Mgmt US Equity Z and equity matching DJI index in the same portfolio.

Majedie Asset Volatility Indicators

Majedie Asset Mgmt US Equity Z GBP Acc Current Risk Indicators

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