Kames Abs (Ireland) Risk Analysis And Volatility Evaluation

IE00BVVQ0700 -- Ireland Fund  

GBp 1,037  1.00  0.1%

Macroaxis considers Kames Abs to be unknown risk. Kames Abs Ret has Sharpe Ratio of -0.5774 which conveys that Kames Abs Ret had -0.5774% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Kames Abs exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Kames Abs Ret Bd Glbl C GBP Acc Mean Deviation of 0.0791 and Risk Adjusted Performance of 0.06 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Kames Abs Market Sensitivity

As returns on market increase, Kames Abs returns are expected to increase less than the market. However during bear market, the loss on holding Kames Abs will be expected to be smaller as well.
One Month Beta |Analyze Kames Abs Ret Demand Trend
Check current 30 days Kames Abs correlation with market (DOW)
β = 0.007
Kames Abs Small BetaKames Abs Ret Beta Legend

Kames Abs Ret Technical Analysis

Transformation
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Kames Abs Projected Return Density Against Market

Assuming 30 trading days horizon, Kames Abs has beta of 0.007 . This indicates as returns on market go up, Kames Abs average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Kames Abs Ret Bd Glbl C GBP Acc will be expected to be much smaller as well. Additionally, Kames Abs Ret Bd Glbl C GBP 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 Kames Abs is -173.21. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.06. The mean deviation of Kames Abs Ret Bd Glbl C GBP Acc is currently at 0.04. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.0095
β
Beta against DOW=0.007
σ
Overall volatility
=0.06
Ir
Information ratio =0.37

Kames Abs Return Volatility

Kames Abs Ret Bd Glbl C GBP Acc accepts 0.0556% volatility on return distribution over the 30 days horizon. DOW inherits 1.0565% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Kames Abs Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Kames Abs Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 17.67 times more volatile than Kames Abs Ret Bd Glbl C GBP Acc. 0% of all equities and portfolios are less risky than Kames Abs. Compared to the overall equity markets, volatility of historical daily returns of Kames Abs Ret Bd Glbl C GBP Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Kames Abs Ret Bd Glbl C GBP Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Kames Abs to be traded at p;1026.63 in 30 days. As returns on market increase, Kames Abs returns are expected to increase less than the market. However during bear market, the loss on holding Kames Abs will be expected to be smaller as well.

Kames Abs correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Kames Abs Ret Bd Glbl C GBP Ac and equity matching DJI index in the same portfolio.

Kames Abs Volatility Indicators

Kames Abs Ret Bd Glbl C GBP Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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