Hermes Global (Ireland) Risk Analysis And Volatility Evaluation

F00000PQUI -- Ireland Fund  

EUR 3.53  0.00  0.00%

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 Hermes Global Emerging which you can use to evaluate future volatility of the entity. Please check out Hermes Global Market Risk Adjusted Performance of 2.01 and Risk Adjusted Performance of 0.31 to validate if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Hermes Global Market Sensitivity

As returns on market increase, Hermes Global returns are expected to increase less than the market. However during bear market, the loss on holding Hermes Global will be expected to be smaller as well.
One Month Beta |Analyze Hermes Global Emerging Demand Trend
Check current 30 days Hermes Global correlation with market (DOW)
β = 0.0957

Hermes Global Central Daily Price Deviation

Hermes Global Emerging Technical Analysis

Transformation
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Hermes Global Projected Return Density Against Market

Assuming 30 trading days horizon, Hermes Global has beta of 0.0957 suggesting as returns on market go up, Hermes Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Hermes Global Emerging Markets F EUR Acc will be expected to be much smaller as well. Additionally, Hermes Global Emerging Markets F EUR Acc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.18
β
Beta against DOW=0.1
σ
Overall volatility
=0.00
Ir
Information ratio =0.1

Hermes Global Return Volatility

Hermes Global Emerging Markets F EUR Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.1939% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hermes Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Hermes Global Investment Opportunity

DOW has a standard deviation of returns of 1.19 and is 9.223372036854776E16 times more volatile than Hermes Global Emerging Markets F EUR Acc. 0% of all equities and portfolios are less risky than Hermes Global. Compared to the overall equity markets, volatility of historical daily returns of Hermes Global Emerging Markets F EUR Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Hermes Global Emerging Markets F EUR Acc 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 Hermes Global to be traded at €3.49 in 30 days. As returns on market increase, Hermes Global returns are expected to increase less than the market. However during bear market, the loss on holding Hermes Global will be expected to be smaller as well.

Hermes Global correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Hermes Global Emerging Markets and equity matching DJI index in the same portfolio.

Hermes Global Volatility Indicators

Hermes Global Emerging Markets F EUR Acc Current Risk Indicators

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