Harding Loevner (Ireland) Risk Analysis And Volatility Evaluation

F00000WZ4K -- Ireland Fund  

SGD 1.47  0.02  1.34%

Macroaxis considers Harding Loevner to be unknown risk. Harding Loevner Global holds Efficiency (Sharpe) Ratio of -0.4472 which attests that Harding Loevner Global had -0.4472% 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. 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 6.48 and Risk Adjusted Performance of 0.1275 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Harding Loevner Market Sensitivity

As returns on market increase, Harding Loevner returns are expected to increase less than the market. However during bear market, the loss on holding Harding Loevner will be expected to be smaller as well.
One Month Beta |Analyze Harding Loevner Global Demand Trend
Check current 30 days Harding Loevner correlation with market (DOW)
β = 0.0948
Harding Loevner Small BetaHarding Loevner Global Beta Legend

Harding Loevner Global Technical Analysis

Transformation
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Harding Loevner Projected Return Density Against Market

Assuming 30 trading days horizon, Harding Loevner has beta of 0.0948 suggesting as returns on market go up, Harding Loevner average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Harding Loevner Global Equity SGD M will be expected to be much smaller as well. Moreover, Harding Loevner Global Equity SGD M has an alpha of 0.5978 implying that it can potentially generate 0.5978% 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 Harding Loevner is -223.61. The daily returns are destributed with a variance of 0.09 and standard deviation of 0.3. The mean deviation of Harding Loevner Global Equity SGD M is currently at 0.22. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.60
β
Beta against DOW=0.09
σ
Overall volatility
=0.30
Ir
Information ratio =0.19

Harding Loevner Return Volatility

Harding Loevner Global Equity SGD M accepts 0.3022% volatility on return distribution over the 30 days horizon. DOW inherits 0.4529% 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

DOW has a standard deviation of returns of 0.45 and is 1.5 times more volatile than Harding Loevner Global Equity SGD M. 2% 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 SGD M is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Harding Loevner Global Equity SGD M 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 S$1.4259 in 30 days. As returns on market increase, Harding Loevner returns are expected to increase less than the market. However during bear market, the loss on holding Harding Loevner will be expected to be smaller as well.

Harding Loevner correlation with market

Significant 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 SGD M Current Risk Indicators

Additionally see Investing Opportunities. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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