Harding Loevner (Ireland) Risk Analysis And Volatility Evaluation

F00000WZ4J -- Ireland Fund  

GBp 152.00  2.00  1.30%

Macroaxis considers Harding Loevner to be unknown risk. Harding Loevner Global holds Efficiency (Sharpe) Ratio of -0.6594 which attests that Harding Loevner Global had -0.6594% of return per unit of risk over the last 2 months. 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. Harding Loevner Global exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Harding Loevner Market Risk Adjusted Performance of 0.5491 and Risk Adjusted Performance of (0.039979) to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Harding Loevner Market Sensitivity

As returns on market increase, returns on owning Harding Loevner are expected to decrease at a much smaller rate. During bear market, Harding Loevner is likely to outperform the market.
2 Months Beta |Analyze Harding Loevner Global Demand Trend
Check current 30 days Harding Loevner correlation with market (DOW)
β = -0.084

Harding Loevner Central Daily Price Deviation

Harding Loevner Global Technical Analysis

Transformation
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Harding Loevner Projected Return Density Against Market

Assuming 30 trading days horizon, Harding Loevner Global Equity GBP I has beta of -0.084 suggesting as returns on benchmark increase, returns on holding Harding Loevner are expected to decrease at a much smaller rate. During bear market, however, Harding Loevner Global Equity GBP I is likely to outperform the market. Additionally, Harding Loevner Global Equity GBP I 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 Harding Loevner is -151.66. The daily returns are destributed with a variance of 1.47 and standard deviation of 1.21. The mean deviation of Harding Loevner Global Equity GBP I is currently at 0.88. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
α
Alpha over DOW
=0.06
β
Beta against DOW=0.08
σ
Overall volatility
=1.21
Ir
Information ratio =0.12

Harding Loevner Return Volatility

Harding Loevner Global Equity GBP I accepts 1.2136% volatility on return distribution over the 30 days horizon. DOW inherits 1.3487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Harding Loevner Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Harding Loevner Investment Opportunity

DOW has a standard deviation of returns of 1.35 and is 1.12 times more volatile than Harding Loevner Global Equity GBP I. 11% of all equities and portfolios are less risky than Harding Loevner. Compared to the overall equity markets, volatility of historical daily returns of Harding Loevner Global Equity GBP I is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Harding Loevner Global Equity GBP I to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Harding Loevner to be traded at p;147.44 in 30 days. As returns on market increase, returns on owning Harding Loevner are expected to decrease at a much smaller rate. During bear market, Harding Loevner is likely to outperform the market.

Harding Loevner correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Harding Loevner Global Equity and equity matching DJI index in the same portfolio.

Harding Loevner Volatility Indicators

Harding Loevner Global Equity GBP I Current Risk Indicators

Additionally see Investing Opportunities. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.
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