HERMES RES (Ireland) Risk Analysis And Volatility Evaluation

12860191 -- Ireland Fund  

USD 93.37  1.15  1.22%

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 HERMES RES I3DUSD which you can use to evaluate future volatility of the entity. Please check out HERMES RES Risk Adjusted Performance of 0.0033 and Market Risk Adjusted Performance of 0.0463 to validate if risk estimate we provide are consistent with the epected return of 0.0%.
 Time Horizon     30 Days    Login   to change

HERMES RES Market Sensitivity

As returns on market increase, returns on owning HERMES RES are expected to decrease at a much smaller rate. During bear market, HERMES RES is likely to outperform the market.
One Month Beta |Analyze HERMES RES I3DUSD Demand Trend
Check current 30 days HERMES RES correlation with market (DOW)
β = -0.219
HERMES RES Almost negative betaHERMES RES I3DUSD Beta Legend

HERMES RES I3DUSD Technical Analysis

Transformation
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.

Projected Return Density Against Market

Assuming 30 trading days horizon, HERMES RES I3DUSD has beta of -0.219 . This suggests as returns on benchmark increase, returns on holding HERMES RES are expected to decrease at a much smaller rate. During bear market, however, HERMES RES I3DUSD is likely to outperform the market. Moreover, HERMES RES I3DUSD has an alpha of 0.0139 implying that it can potentially generate 0.0139% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0139
β
Beta against DOW=0.22
σ
Overall volatility
=0.00
Ir
Information ratio =0.16

Actual Return Volatility

HERMES RES I3DUSD accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.5516% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

HERMES RES Investment Opportunity
DOW has a standard deviation of returns of 0.55 and is 9.223372036854776E16 times more volatile than HERMES RES I3DUSD. 0% of all equities and portfolios are less risky than HERMES RES. Compared to the overall equity markets, volatility of historical daily returns of HERMES RES I3DUSD is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use HERMES RES I3DUSD to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of HERMES RES to be traded at $90.57 in 30 days. As returns on market increase, returns on owning HERMES RES are expected to decrease at a much smaller rate. During bear market, HERMES RES is likely to outperform the market.

HERMES RES correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding HERMES RES I3DUSD and equity matching DJI index in the same portfolio.

Volatility Indicators

HERMES RES Current Risk Indicators
Check also Trending Equities. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.