Gramercy Corp (Ireland) Risk Analysis And Volatility Evaluation

IE00BRCJF758 -- Ireland Fund  

USD 115.79  0.46  0.40%

Macroaxis considers Gramercy Corp to be unknown risk. Gramercy Corp Emerg holds Efficiency (Sharpe) Ratio of -0.213 which attests that Gramercy Corp Emerg had -0.213% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in determining 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. Gramercy Corp Emerg exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Gramercy Corp Market Risk Adjusted Performance of 0.0527 and Risk Adjusted Performance of 0.0216 to validate risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Gramercy Corp Market Sensitivity

As returns on market increase, Gramercy Corp returns are expected to increase less than the market. However during bear market, the loss on holding Gramercy Corp will be expected to be smaller as well.
One Month Beta |Analyze Gramercy Corp Emerg Demand Trend
Check current 30 days Gramercy Corp correlation with market (DOW)
β = 0.05
Gramercy Corp Small BetaGramercy Corp Emerg Beta Legend

Gramercy Corp Emerg Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Gramercy Corp has beta of 0.05 . This indicates as returns on market go up, Gramercy Corp average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Gramercy Corp Emerg Mkt Dbt W I USD Acc will be expected to be much smaller as well. Moreover, Gramercy Corp Emerg Mkt Dbt W I USD Acc has an alpha of 0.0022 implying that it can potentially generate 0.0022% 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 Gramercy Corp is -469.56. The daily returns are destributed with a variance of 1.57 and standard deviation of 1.25. The mean deviation of Gramercy Corp Emerg Mkt Dbt W I USD Acc is currently at 0.91. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.0022
β
Beta against DOW=0.05
σ
Overall volatility
=1.25
Ir
Information ratio =0.0411

Actual Return Volatility

Gramercy Corp Emerg Mkt Dbt W I USD Acc accepts 1.2525% volatility on return distribution over the 30 days horizon. DOW inherits 0.4461% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Gramercy Corp Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Gramercy Corp Investment Opportunity
Gramercy Corp Emerg Mkt Dbt W I USD Acc has a volatility of 1.25 and is 2.78 times more volatile than DOW. 11% of all equities and portfolios are less risky than Gramercy Corp. Compared to the overall equity markets, volatility of historical daily returns of Gramercy Corp Emerg Mkt Dbt W I USD Acc is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Gramercy Corp Emerg Mkt Dbt W I USD Acc to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Gramercy Corp to be traded at $121.58 in 30 days. As returns on market increase, Gramercy Corp returns are expected to increase less than the market. However during bear market, the loss on holding Gramercy Corp will be expected to be smaller as well.

Gramercy Corp correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Gramercy Corp Emerg Mkt Dbt W and equity matching DJI index in the same portfolio.

Volatility Indicators

Gramercy Corp Current Risk Indicators
Please also check Risk vs Return Analysis. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.