Hermes Asia (Ireland) Risk Analysis And Volatility Evaluation

F00000VIC3 -- Ireland Fund  

EUR 2.86  0.04  1.42%

Macroaxis considers Hermes Asia to be unknown risk. Hermes Asia Ex holds Efficiency (Sharpe) Ratio of -0.1464 which attests that Hermes Asia Ex had -0.1464% 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 Asia Ex 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 Asia Market Risk Adjusted Performance of 0.0216 and Risk Adjusted Performance of 0.008 to validate risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Hermes Asia Market Sensitivity

As returns on market increase, returns on owning Hermes Asia are expected to decrease at a much smaller rate. During bear market, Hermes Asia is likely to outperform the market.
One Month Beta |Analyze Hermes Asia Ex Demand Trend
Check current 30 days Hermes Asia correlation with market (DOW)
β = -0.7325
Hermes Asia Almost negative betaHermes Asia Ex Beta Legend

Hermes Asia Ex Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, Hermes Asia Ex Japan Equity C EUR Acc has beta of -0.7325 suggesting as returns on benchmark increase, returns on holding Hermes Asia are expected to decrease at a much smaller rate. During bear market, however, Hermes Asia Ex Japan Equity C EUR Acc is likely to outperform the market. Moreover, Hermes Asia Ex Japan Equity C EUR Acc has an alpha of 0.0866 implying that it can potentially generate 0.0866% 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 Hermes Asia is -683.14. The daily returns are destributed with a variance of 8.42 and standard deviation of 2.9. The mean deviation of Hermes Asia Ex Japan Equity C EUR Acc is currently at 2.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.09
β
Beta against DOW=0.73
σ
Overall volatility
=2.90
Ir
Information ratio =0.05

Actual Return Volatility

Hermes Asia Ex Japan Equity C EUR Acc accepts 2.9012% volatility on return distribution over the 30 days horizon. DOW inherits 0.6284% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hermes Asia Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Hermes Asia Investment Opportunity
Hermes Asia Ex Japan Equity C EUR Acc has a volatility of 2.9 and is 4.6 times more volatile than DOW. 26% of all equities and portfolios are less risky than Hermes Asia. Compared to the overall equity markets, volatility of historical daily returns of Hermes Asia Ex Japan Equity C EUR Acc is lower than 26 (%) of all global equities and portfolios over the last 30 days. Use Hermes Asia Ex Japan Equity C EUR Acc to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Hermes Asia to be traded at €3.15 in 30 days. As returns on market increase, returns on owning Hermes Asia are expected to decrease at a much smaller rate. During bear market, Hermes Asia is likely to outperform the market.

Hermes Asia correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Hermes Asia Ex Japan Equity C and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.