Colchester Lcl (Ireland) Risk Analysis And Volatility Evaluation

IE00BQZJ2B89 -- Ireland Fund  

USD 11.60  0.13  1.13%

We consider Colchester Lcl unknown risk. Colchester Lcl Mkts secures Sharpe Ratio (or Efficiency) of 0.0033 which signifies that Colchester Lcl Mkts had 0.0033% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing 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 Colchester Lcl Mkts Rl Ret Bd B USDH Acc which you can use to evaluate future volatility of the entity. Please confirm Colchester Lcl Mkts Risk Adjusted Performance of 0.0997 and Mean Deviation of 0.1045 to double-check if risk estimate we provide are consistent with the epected return of 0.0028%.
Horizon     30 Days    Login   to change

Colchester Lcl Market Sensitivity

As returns on market increase, returns on owning Colchester Lcl are expected to decrease at a much smaller rate. During bear market, Colchester Lcl is likely to outperform the market.
One Month Beta |Analyze Colchester Lcl Mkts Demand Trend
Check current 30 days Colchester Lcl correlation with market (DOW)
β = -5.0E-4
Colchester Lcl Almost negative betaColchester Lcl Mkts Beta Legend

Colchester Lcl Mkts Technical Analysis

Transformation
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Colchester Lcl Projected Return Density Against Market

Assuming 30 trading days horizon, Colchester Lcl Mkts Rl Ret Bd B USDH Acc has beta of -5.0E-4 . This indicates as returns on benchmark increase, returns on holding Colchester Lcl are expected to decrease at a much smaller rate. During bear market, however, Colchester Lcl Mkts Rl Ret Bd B USDH Acc is likely to outperform the market. Moreover, Colchester Lcl Mkts Rl Ret Bd B USDH Acc has an alpha of 0.037 implying that it can potentially generate 0.037% 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 Colchester Lcl is 30035.26. The daily returns are destributed with a variance of 0.69 and standard deviation of 0.83. The mean deviation of Colchester Lcl Mkts Rl Ret Bd B USDH Acc is currently at 0.49. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.037
β
Beta against DOW=0.0005
σ
Overall volatility
=0.83
Ir
Information ratio =0.69

Colchester Lcl Return Volatility

Colchester Lcl Mkts Rl Ret Bd B USDH Acc accepts 0.829% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Colchester Lcl Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Colchester Lcl Investment Opportunity

Colchester Lcl Mkts Rl Ret Bd B USDH Acc has a volatility of 0.83 and is 1.84 times more volatile than DOW. 7% of all equities and portfolios are less risky than Colchester Lcl. Compared to the overall equity markets, volatility of historical daily returns of Colchester Lcl Mkts Rl Ret Bd B USDH Acc is lower than 7 (%) of all global equities and portfolios over the last 30 days.

Colchester Lcl Volatility Indicators

Colchester Lcl Mkts Rl Ret Bd B USDH Acc Current Risk Indicators

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