Janus US (Ireland) Risk Analysis And Volatility Evaluation

F00000QM83 -- Ireland Fund  

 16.38  0.39  2.44%

Macroaxis considers Janus US unknown risk given 2 months investment horizon. Janus US Twenty holds Efficiency (Sharpe) Ratio of 0.8104 which attests that Janus US Twenty had 0.8104% of return per unit of risk over the last 2 months. 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 Twenty which you can use to evaluate future volatility of the entity. Please utilize Janus US Downside Deviation of 2.39, Market Risk Adjusted Performance of 1.11 and Risk Adjusted Performance of 0.1509 to validate if our risk estimates are consistent with your expectations.
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.
2 Months Beta |Analyze Janus US Twenty Demand Trend
Check current 30 days Janus US correlation with market (DOW)
β = 0.2882

Janus US Central Daily Price Deviation

Janus US Twenty Technical Analysis

Transformation
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Janus US Projected Return Density Against Market

Assuming 30 trading days horizon, Janus US has beta of 0.2882 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 Twenty U EUR Acc Hedged will be expected to be much smaller as well. Moreover, Janus US Twenty U EUR Acc Hedged has an alpha of 0.3654 implying that it can potentially generate 0.3654% 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 123.4. The daily returns are destributed with a variance of 0.13 and standard deviation of 0.36. The mean deviation of Janus US Twenty U EUR Acc Hedged is currently at 0.29. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.37
β
Beta against DOW=0.29
σ
Overall volatility
=0.36
Ir
Information ratio =0.16

Janus US Return Volatility

Janus US Twenty U EUR Acc Hedged accepts 0.3611% volatility on return distribution over the 30 days horizon. DOW inherits 1.3081% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

Janus US Investment Opportunity

DOW has a standard deviation of returns of 1.31 and is 3.64 times more volatile than Janus US Twenty U EUR Acc Hedged. 3% 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 Twenty U EUR Acc Hedged is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use Janus US Twenty U EUR Acc Hedged to enhance returns of your portfolios. The fund experiences unexpected upward trend. Watch out for market signals. Check odds of Janus US to be traded at 19.66 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

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Janus US Twenty U EUR Acc Hedg and equity matching DJI index in the same portfolio.

Janus US Volatility Indicators

Janus US Twenty U EUR Acc Hedged Current Risk Indicators

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