Spinnaker Emerg (Ireland) Risk Analysis And Volatility Evaluation

IE00BXQ9NT15 -- Ireland Fund  

GBp 10,034  0.00  0.00%

We consider Spinnaker Emerg unknown risk. Spinnaker Emerg Mkts owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5 which indicates Spinnaker Emerg Mkts had 0.5% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty technical indicators for Spinnaker Emerg Mkts Macro S1 GBP which you can use to evaluate future volatility of the fund. Please validate Spinnaker Emerg Downside Deviation of 1.24, Standard Deviation of 2109.69 and Risk Adjusted Performance of 0.109 to confirm if risk estimate we provide are consistent with the epected return of 0.07%.
 Time Horizon     30 Days    Login   to change

Spinnaker Emerg Market Sensitivity

As returns on market increase, returns on owning Spinnaker Emerg are expected to decrease by larger amounts. On the other hand, during market turmoil, Spinnaker Emerg is expected to significantly outperform it.
One Month Beta |Analyze Spinnaker Emerg Mkts Demand Trend
Check current 30 days Spinnaker Emerg correlation with market (DOW)
β = -268.343
Spinnaker Emerg Large Negative BetaSpinnaker Emerg Mkts Beta Legend

Spinnaker Emerg Mkts Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Spinnaker Emerg Mkts Macro S1 GBP has beta of -268.343 . This indicates as returns on its benchmark rise, returns on holding Spinnaker Emerg Mkts Macro S1 GBP are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Spinnaker Emerg is expected to outperform its benchmark. In addition to that, Spinnaker Emerg Mkts Macro S1 GBP has an alpha of 479.8317 implying that it can potentially generate 479.8317% 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 Spinnaker Emerg is 200.0. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.14. The mean deviation of Spinnaker Emerg Mkts Macro S1 GBP is currently at 0.1. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=479.83
β
Beta against DOW=268.34
σ
Overall volatility
=0.14
Ir
Information ratio =0.21

Actual Return Volatility

Spinnaker Emerg Mkts Macro S1 GBP accepts 0.1399% volatility on return distribution over the 30 days horizon. DOW inherits 0.5115% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Spinnaker Emerg Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Spinnaker Emerg Investment Opportunity
DOW has a standard deviation of returns of 0.51 and is 3.64 times more volatile than Spinnaker Emerg Mkts Macro S1 GBP. 1% of all equities and portfolios are less risky than Spinnaker Emerg. Compared to the overall equity markets, volatility of historical daily returns of Spinnaker Emerg Mkts Macro S1 GBP is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Spinnaker Emerg Mkts Macro S1 GBP to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Spinnaker Emerg to be traded at p;9933.66 in 30 days. As returns on market increase, returns on owning Spinnaker Emerg are expected to decrease by larger amounts. On the other hand, during market turmoil, Spinnaker Emerg is expected to significantly outperform it.

Spinnaker Emerg correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Spinnaker Emerg Mkts Macro S1 and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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