Harding Loevner (Ireland) Risk Analysis And Volatility Evaluation

F00000WZ4J -- Ireland Fund  

GBp 172.00  1.00  0.58%

Macroaxis considers Harding Loevner unknown risk given 1 month investment horizon. Harding Loevner Global holds Efficiency (Sharpe) Ratio of 0.8307 which attests that Harding Loevner Global had 0.8307% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. By evaluating Harding Loevner Global technical indicators you can presently evaluate if the expected return of 0.7432% is justified by implied risk. Please utilize Harding Loevner to validate if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Harding Loevner Global Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Harding Loevner has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Harding Loevner are completely uncorrelated. Furthermore, Harding Loevner Global Equity GBP IIt does not look like Harding Loevner alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Harding Loevner is 120.39. The daily returns are destributed with a variance of 0.8 and standard deviation of 0.89. The mean deviation of Harding Loevner Global Equity GBP I is currently at 0.74. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.89
Ir
Information ratio =0.00

Actual Return Volatility

Harding Loevner Global Equity GBP I accepts 0.8947% volatility on return distribution over the 30 days horizon. DOW inherits 0.4414% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Harding Loevner Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Harding Loevner Investment Opportunity
Harding Loevner Global Equity GBP I has a volatility of 0.89 and is 2.02 times more volatile than DOW. 8% 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 8 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Harding Loevner Current Risk Indicators
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