JOHCM Global (Ireland) Risk Analysis And Volatility Evaluation

F0000027Q8 -- Ireland Fund  

GBp 300.00  1.00  0.33%

We consider JOHCM Global unknown risk. JOHCM Global Select holds Efficiency (Sharpe) Ratio of 0.001 which attests that JOHCM Global Select had 0.001% of return per unit of risk over the last 1 month. Our philosophy in 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 JOHCM Global Select which you can use to evaluate future volatility of the entity. Please check out JOHCM Global to validate if risk estimate we provide are consistent with the epected return of 3.0E-4%.
Horizon     30 Days    Login   to change

JOHCM Global Select Technical Analysis

Transformation
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JOHCM Global Projected Return Density Against Market

Assuming 30 trading days horizon, JOHCM Global has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and JOHCM Global are completely uncorrelated. Furthermore, JOHCM Global Select B GBPIt does not look like JOHCM Global alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of JOHCM Global is 98796.15. The daily returns are destributed with a variance of 0.07 and standard deviation of 0.27. The mean deviation of JOHCM Global Select B GBP is currently at 0.17. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.27
Ir
Information ratio =0.00

JOHCM Global Return Volatility

JOHCM Global Select B GBP accepts 0.2717% volatility on return distribution over the 30 days horizon. DOW inherits 1.0404% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

JOHCM Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

JOHCM Global Investment Opportunity

DOW has a standard deviation of returns of 1.04 and is 3.85 times more volatile than JOHCM Global Select B GBP. 2% of all equities and portfolios are less risky than JOHCM Global. Compared to the overall equity markets, volatility of historical daily returns of JOHCM Global Select B GBP is lower than 2 (%) of all global equities and portfolios over the last 30 days.

JOHCM Global Volatility Indicators

JOHCM Global Select B GBP Current Risk Indicators

Additionally see Investing Opportunities. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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