Hermes US (Ireland) Risk Analysis And Volatility Evaluation

F00000TWHL -- Ireland Fund  

GBp 153.00  1.00  0.66%

Macroaxis considers Hermes US to be unknown risk. Hermes US Smid holds Efficiency (Sharpe) Ratio of -0.5 which attests that Hermes US Smid had -0.5% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Hermes US Smid exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Hermes US Market Risk Adjusted Performance of 0.9978 and Risk Adjusted Performance of 0.14 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Hermes US Market Sensitivity

As returns on market increase, returns on owning Hermes US are expected to decrease at a much smaller rate. During bear market, Hermes US is likely to outperform the market.
One Month Beta |Analyze Hermes US Smid Demand Trend
Check current 30 days Hermes US correlation with market (DOW)
β = -0.1098
Hermes US Almost negative betaHermes US Smid Beta Legend

Hermes US Smid Technical Analysis

Transformation
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Hermes US Projected Return Density Against Market

Assuming 30 trading days horizon, Hermes US Smid Equity F GBP Inc Hdg has beta of -0.1098 suggesting as returns on benchmark increase, returns on holding Hermes US are expected to decrease at a much smaller rate. During bear market, however, Hermes US Smid Equity F GBP Inc Hdg is likely to outperform the market. Additionally, Hermes US Smid Equity F GBP Inc Hdg 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 
Assuming 30 trading days horizon, the coefficient of variation of Hermes US is -200.0. The daily returns are destributed with a variance of 0.11 and standard deviation of 0.32. The mean deviation of Hermes US Smid Equity F GBP Inc Hdg is currently at 0.24. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.12
β
Beta against DOW=0.11
σ
Overall volatility
=0.32
Ir
Information ratio =0.06

Hermes US Return Volatility

Hermes US Smid Equity F GBP Inc Hdg accepts 0.3247% volatility on return distribution over the 30 days horizon. DOW inherits 1.0479% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hermes US Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Hermes US Investment Opportunity

DOW has a standard deviation of returns of 1.05 and is 3.28 times more volatile than Hermes US Smid Equity F GBP Inc Hdg. 2% of all equities and portfolios are less risky than Hermes US. Compared to the overall equity markets, volatility of historical daily returns of Hermes US Smid Equity F GBP Inc Hdg is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Hermes US Smid Equity F GBP Inc Hdg to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Hermes US to be traded at p;168.3 in 30 days. As returns on market increase, returns on owning Hermes US are expected to decrease at a much smaller rate. During bear market, Hermes US is likely to outperform the market.

Hermes US correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Hermes US Smid Equity F GBP In and equity matching DJI index in the same portfolio.

Hermes US Volatility Indicators

Hermes US Smid Equity F GBP Inc Hdg Current Risk Indicators

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