Polar Capital (Ireland) Risk Analysis And Volatility Evaluation

IE00BWX5D402 -- Ireland Fund  

GBp 1,023  6.00  0.58%

Macroaxis considers Polar Capital to be unknown risk. Polar Capital European maintains Sharpe Ratio (i.e. Efficiency) of -0.5 which implies Polar Capital European had -0.5% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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. Polar Capital European exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Polar Capital European Coefficient Of Variation of 840.73 and Risk Adjusted Performance of 0.06 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Polar Capital Market Sensitivity

As returns on market increase, returns on owning Polar Capital are expected to decrease at a much smaller rate. During bear market, Polar Capital is likely to outperform the market.
One Month Beta |Analyze Polar Capital European Demand Trend
Check current 30 days Polar Capital correlation with market (DOW)
β = -0.317
Polar Capital Almost negative betaPolar Capital European Beta Legend

Polar Capital European Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Polar Capital European Ex UK I has beta of -0.317 . This indicates as returns on benchmark increase, returns on holding Polar Capital are expected to decrease at a much smaller rate. During bear market, however, Polar Capital European Ex UK I is likely to outperform the market. Additionally, Polar Capital European Ex UK I 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 Polar Capital is -200.0. The daily returns are destributed with a variance of 0.09 and standard deviation of 0.29. The mean deviation of Polar Capital European Ex UK I is currently at 0.22. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.04
β
Beta against DOW=0.32
σ
Overall volatility
=0.29
Ir
Information ratio =0.33

Actual Return Volatility

Polar Capital European Ex UK I accepts 0.2915% volatility on return distribution over the 30 days horizon. DOW inherits 0.5701% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Polar Capital Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Polar Capital Investment Opportunity
DOW has a standard deviation of returns of 0.57 and is 1.97 times more volatile than Polar Capital European Ex UK I. 2% of all equities and portfolios are less risky than Polar Capital. Compared to the overall equity markets, volatility of historical daily returns of Polar Capital European Ex UK I is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Polar Capital European Ex UK I to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Polar Capital to be traded at p;1002.54 in 30 days. As returns on market increase, returns on owning Polar Capital are expected to decrease at a much smaller rate. During bear market, Polar Capital is likely to outperform the market.

Polar Capital correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Polar Capital European Ex UK I and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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