Man GLG (Ireland) Risk Analysis And Volatility Evaluation

F00000W7WC -- Ireland Fund  

JPY 9,725  108.00  1.12%

Macroaxis considers Man GLG unknown risk given 1 month investment horizon. Man GLG Global has Sharpe Ratio of 0.5774 which conveys that Man GLG Global had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty technical indicators for Man GLG which you can use to evaluate future volatility of the organization. Please exercise Man GLG Global Convertibles I JPY Acc Coefficient Of Variation of 365.39, Mean Deviation of 1.41 and Risk Adjusted Performance of 0.172 to check out if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Man GLG Market Sensitivity

As returns on market increase, returns on owning Man GLG are expected to decrease at a much smaller rate. During bear market, Man GLG is likely to outperform the market.
One Month Beta |Analyze Man GLG Global Demand Trend
Check current 30 days Man GLG correlation with market (DOW)
β = -0.2717
Man GLG Almost negative betaMan GLG Global Beta Legend

Man GLG Global Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Man GLG Global Convertibles I JPY Acc has beta of -0.2717 suggesting as returns on benchmark increase, returns on holding Man GLG are expected to decrease at a much smaller rate. During bear market, however, Man GLG Global Convertibles I JPY Acc is likely to outperform the market. Moreover, Man GLG Global Convertibles I JPY Acc has an alpha of 0.9192 implying that it can potentially generate 0.9192% 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 Man GLG is 173.21. The daily returns are destributed with a variance of 0.42 and standard deviation of 0.65. The mean deviation of Man GLG Global Convertibles I JPY Acc is currently at 0.5. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.92
β
Beta against DOW=0.27
σ
Overall volatility
=0.65
Ir
Information ratio =0.23

Actual Return Volatility

Man GLG Global Convertibles I JPY Acc accepts 0.6484% volatility on return distribution over the 30 days horizon. DOW inherits 0.5992% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Man GLG Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Man GLG Investment Opportunity
Man GLG Global Convertibles I JPY Acc has a volatility of 0.65 and is 1.08 times more volatile than DOW. 5% of all equities and portfolios are less risky than Man GLG. Compared to the overall equity markets, volatility of historical daily returns of Man GLG Global Convertibles I JPY Acc is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use Man GLG Global Convertibles I JPY Acc to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Man GLG to be traded at ¥10697.5 in 30 days. As returns on market increase, returns on owning Man GLG are expected to decrease at a much smaller rate. During bear market, Man GLG is likely to outperform the market.

Man GLG correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Man GLG Global Convertibles I and equity matching DJI index in the same portfolio.
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