iShares Global (Ireland) Risk Analysis And Volatility Evaluation

INFR -- Ireland Fund  

USD 24.12  0.54  2.19%

Macroaxis considers iShares Global to be unknown risk. iShares Global Infras shows Sharpe Ratio of -0.5 which attests that iShares Global Infras had -0.5% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining 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. iShares Global Infras exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out iShares Global Infras Market Risk Adjusted Performance of 0.5273 and Mean Deviation of 0.1943 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

iShares Global Market Sensitivity

As returns on market increase, iShares Global returns are expected to increase less than the market. However during bear market, the loss on holding iShares Global will be expected to be smaller as well.
One Month Beta |Analyze iShares Global Infras Demand Trend
Check current 30 days iShares Global correlation with market (DOW)
β = 0.1774
iShares Global Small BetaiShares Global Infras Beta Legend

iShares Global Infras Technical Analysis

Transformation
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iShares Global Projected Return Density Against Market

Assuming 30 trading days horizon, iShares Global has beta of 0.1774 . This indicates as returns on market go up, iShares Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding iShares Global Infras ETF USD Dist will be expected to be much smaller as well. Moreover, iShares Global Infras ETF USD Dist has an alpha of 0.0623 implying that it can potentially generate 0.0623% 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 iShares Global is -200.0. The daily returns are destributed with a variance of 1.2 and standard deviation of 1.09. The mean deviation of iShares Global Infras ETF USD Dist is currently at 0.82. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.06
β
Beta against DOW=0.18
σ
Overall volatility
=1.09
Ir
Information ratio =0.16

iShares Global Return Volatility

iShares Global Infras ETF USD Dist accepts 1.0949% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iShares Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

iShares Global Investment Opportunity

iShares Global Infras ETF USD Dist has a volatility of 1.09 and is 2.48 times more volatile than DOW. 9% of all equities and portfolios are less risky than iShares Global. Compared to the overall equity markets, volatility of historical daily returns of iShares Global Infras ETF USD Dist is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use iShares Global Infras ETF USD Dist to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of iShares Global to be traded at $23.16 in 30 days. As returns on market increase, iShares Global returns are expected to increase less than the market. However during bear market, the loss on holding iShares Global will be expected to be smaller as well.

iShares Global correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding iShares Global Infras ETF USD and equity matching DJI index in the same portfolio.

iShares Global Volatility Indicators

iShares Global Infras ETF USD Dist Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
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