Janus US (Ireland) Risk Analysis And Volatility Evaluation

F000000S56 -- Ireland Fund  

EUR 20.43  0.00  0.00%

We consider Janus US unknown risk. Janus US Research holds Efficiency (Sharpe) Ratio of 0.1123 which attests that Janus US Research had 0.1123% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Janus US Research which you can use to evaluate future volatility of the entity. Please check out Janus US Market Risk Adjusted Performance of 4.15 and Risk Adjusted Performance of 0.4472 to validate if risk estimate we provide are consistent with the epected return of 0.112%.
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 Research Demand Trend
Check current 30 days Janus US correlation with market (DOW)
β = 0.12
Janus US Small BetaJanus US Research Beta Legend

Janus US Research Technical Analysis

Transformation
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Janus US Projected Return Density Against Market

Assuming 30 trading days horizon, Janus US has beta of 0.12 suggesting 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 Research I EUR Acc Hedged will be expected to be much smaller as well. Moreover, Janus US Research I EUR Acc Hedged has an alpha of 0.518 implying that it can potentially generate 0.518% 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 890.37. The daily returns are destributed with a variance of 0.99 and standard deviation of 1.0. The mean deviation of Janus US Research I EUR Acc Hedged is currently at 0.62. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.52
β
Beta against DOW=0.12
σ
Overall volatility
=1.00
Ir
Information ratio =0.54

Janus US Return Volatility

Janus US Research I EUR Acc Hedged accepts 0.997% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Janus US Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Janus US Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.06 times more volatile than Janus US Research I EUR Acc Hedged. 9% 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 Research I EUR Acc Hedged is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Janus US Research I EUR Acc Hedged to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Janus US to be traded at €20.23 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

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Janus US Research I EUR Acc He and equity matching DJI index in the same portfolio.

Janus US Volatility Indicators

Janus US Research I EUR Acc Hedged Current Risk Indicators

Additionally see Investing Opportunities. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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