Hermes US (Ireland) Risk Analysis And Volatility Evaluation

Macroaxis considers Hermes US unknown risk given 2 months investment horizon. Hermes US Smid holds Efficiency (Sharpe) Ratio of 0.7071 which attests that Hermes US Smid had 0.7071% 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. By evaluating Hermes US Smid technical indicators you can presently evaluate if the expected return of 0.7693% is justified by implied risk. Please utilize Hermes US Market Risk Adjusted Performance of 3.7 and Risk Adjusted Performance of (0.23) to validate if our risk estimates are consistent with your expectations.
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.
2 Months Beta |Analyze Hermes US Smid Demand Trend
Check current 30 days Hermes US correlation with market (DOW)
β = -0.0355

Hermes US Central Daily Price Deviation

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 -0.0355 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 141.42. The daily returns are destributed with a variance of 1.18 and standard deviation of 1.09. The mean deviation of Hermes US Smid Equity F GBP Inc Hdg is currently at 0.77. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
α
Alpha over DOW
=0.13
β
Beta against DOW=0.04
σ
Overall volatility
=1.09
Ir
Information ratio =0.13

Hermes US Return Volatility

Hermes US Smid Equity F GBP Inc Hdg accepts 1.0879% volatility on return distribution over the 30 days horizon. DOW inherits 1.282% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hermes US Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Hermes US Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 1.17 times more volatile than Hermes US Smid Equity F GBP Inc Hdg. 9% 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 9 (%) of all global equities and portfolios over the last 30 days. Use Hermes US Smid Equity F GBP Inc Hdg to protect against small markets fluctuations. The fund experiences very speculative upward sentiment.. Check odds of Hermes US to be traded at p;0.0 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

correlation synergy
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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