Hermes Asia (Ireland) Risk Analysis And Volatility Evaluation

F00000VIC4 -- Ireland Fund  

GBp 152.00  2.00  1.30%

Macroaxis considers Hermes Asia unknown risk given 2 months investment horizon. Hermes Asia Ex holds Efficiency (Sharpe) Ratio of 0.4166 which attests that Hermes Asia Ex had 0.4166% 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 Asia Ex technical indicators you can presently evaluate if the expected return of 0.6818% is justified by implied risk. Please utilize Hermes Asia to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Hermes Asia Ex Technical Analysis

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Hermes Asia Projected Return Density Against Market

Assuming 30 trading days horizon, Hermes Asia has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Hermes Asia are completely uncorrelated. Furthermore, Hermes Asia Ex Japan Equity C GBPIt does not look like Hermes Asia alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Assuming 30 trading days horizon, the coefficient of variation of Hermes Asia is 240.03. The daily returns are destributed with a variance of 2.68 and standard deviation of 1.64. The mean deviation of Hermes Asia Ex Japan Equity C GBP is currently at 1.34. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.00

Hermes Asia Return Volatility

Hermes Asia Ex Japan Equity C GBP accepts 1.6366% volatility on return distribution over the 30 days horizon. DOW inherits 1.2959% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Hermes Asia Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity


Investment Outlook

Hermes Asia Investment Opportunity

Hermes Asia Ex Japan Equity C GBP has a volatility of 1.64 and is 1.26 times more volatile than DOW. 14% 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 GBP is lower than 14 (%) of all global equities and portfolios over the last 30 days.

Hermes Asia Volatility Indicators

Hermes Asia Ex Japan Equity C GBP Current Risk Indicators

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