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 TrendCheck current 30 days Nomura Cross correlation with market (DOW)|
β = 0.0023
Nomura Cross Central Daily Price Deviation
Nomura Cross Asst Technical Analysis
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.
Nomura Cross Projected Return Density Against MarketAssuming 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
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
|Alpha over DOW||=||0.14|
|Beta against DOW||=||0.0023|
Nomura Cross Return VolatilityNomura 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.
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.