JANUS US (Ireland) Risk Analysis And Volatility Evaluation

1048579 -- Ireland Fund  

USD 24.77  0.21  0.85%

We consider JANUS US unknown risk. JANUS US TWEN holds Efficiency (Sharpe) Ratio of 0.0022 which attests that JANUS US TWEN had 0.0022% of return per unit of volatility over the last 1 month. Our way of determining 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-one technical indicators for JANUS US TWEN which you can use to evaluate future volatility of the entity. Please check out JANUS US Market Risk Adjusted Performance of 0.4954 to validate if risk estimate we provide are consistent with the epected return of 0.0012%.
 Time Horizon     30 Days    Login   to change

JANUS US Market Sensitivity

As returns on market increase, JANUS US returns are expected to increase less than the market. However during bear market, the loss on holding JANUS US will be expected to be smaller as well.
One Month Beta |Analyze JANUS US TWEN Demand Trend
Check current 30 days JANUS US correlation with market (DOW)
β = 0.0923
JANUS US Small BetaJANUS US TWEN Beta Legend

JANUS US TWEN Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, JANUS US has beta of 0.0923 . This suggests as returns on market go up, JANUS US average returns are expected to increase less than the benchmark. However during bear market, the loss on holding JANUS US TWEN I ACC will be expected to be much smaller as well. Moreover, JANUS US TWEN I ACC has an alpha of 0.0359 implying that it can potentially generate 0.0359% 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 JANUS US is 44872.99. The daily returns are destributed with a variance of 0.29 and standard deviation of 0.54. The mean deviation of JANUS US TWEN I ACC is currently at 0.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0359
β
Beta against DOW=0.09
σ
Overall volatility
=0.54
Ir
Information ratio =0.09

Actual Return Volatility

JANUS US TWEN I ACC accepts 0.5385% 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 

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Analyst Recommendations

Analyst recommendations and target price estimates broken down by several categories
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Investment Outlook

JANUS US Investment Opportunity
DOW has a standard deviation of returns of 0.57 and is 1.06 times more volatile than JANUS US TWEN I ACC. 4% of all equities and portfolios are less risky than JANUS US. Compared to the overall equity markets, volatility of historical daily returns of JANUS US TWEN I ACC is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use JANUS US TWEN I ACC to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of JANUS US to be traded at $27.25 in 30 days. As returns on market increase, JANUS US returns are expected to increase less than the market. However during bear market, the loss on holding JANUS US will be expected to be smaller as well.

JANUS US correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding JANUS US TWEN I ACC and equity matching DJI index in the same portfolio.
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