Nomura Cross (Ireland) Risk Analysis And Volatility Evaluation

IE00BZ1G5L79 -- Ireland Fund  

USD 94.35  0.00  0.00%

Macroaxis considers Nomura Cross to be unknown risk. Nomura Cross Asst has Sharpe Ratio of -0.5774 which conveys that Nomura Cross Asst had -0.5774% of return per unit of risk over the last 2 months. 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. Nomura Cross exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Nomura Cross Asst Mom UCITS I USD Mean Deviation of 0.5438 and Risk Adjusted Performance of (0.19) to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Nomura Cross Market Sensitivity

As returns on market increase, Nomura Cross returns are expected to increase less than the market. However during bear market, the loss on holding Nomura Cross will be expected to be smaller as well.
2 Months Beta |Analyze Nomura Cross Asst Demand Trend
Check current 30 days Nomura Cross correlation with market (DOW)
β = 0.0023

Nomura Cross Central Daily Price Deviation

Nomura Cross Asst Technical Analysis

Transformation
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Nomura Cross Projected Return Density Against Market

Assuming 30 trading days horizon, Nomura Cross has beta of 0.0023 . This indicates as returns on market go up, Nomura Cross average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Nomura Cross Asst Mom UCITS I USD will be expected to be much smaller as well. Additionally, Nomura Cross Asst Mom UCITS I USD 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 Nomura Cross is -173.21. The daily returns are destributed with a variance of 0.2 and standard deviation of 0.44. The mean deviation of Nomura Cross Asst Mom UCITS I USD is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.14
β
Beta against DOW=0.0023
σ
Overall volatility
=0.44
Ir
Information ratio =0.02

Nomura Cross Return Volatility

Nomura Cross Asst Mom UCITS I USD accepts 0.4433% volatility on return distribution over the 30 days horizon. DOW inherits 1.2918% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Nomura Cross Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Nomura Cross Investment Opportunity

DOW has a standard deviation of returns of 1.29 and is 2.93 times more volatile than Nomura Cross Asst Mom UCITS I USD. 4% of all equities and portfolios are less risky than Nomura Cross. Compared to the overall equity markets, volatility of historical daily returns of Nomura Cross Asst Mom UCITS I USD is lower than 4 (%) of all global equities and portfolios over the last 30 days.

Nomura Cross Volatility Indicators

Nomura Cross Asst Mom UCITS I USD Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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