Janus US (Ireland) Risk Analysis And Volatility Evaluation

F0GBR04IY6 -- Ireland Fund  

EUR 31.27  0.38  1.20%

Macroaxis considers Janus US unknown risk given 1 month investment horizon. Janus US Twenty holds Efficiency (Sharpe) Ratio of 0.3898 which attests that Janus US Twenty had 0.3898% 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 fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Janus US Twenty which you can use to evaluate future volatility of the entity. Please utilize Janus US Market Risk Adjusted Performance of 0.54 and Risk Adjusted Performance of 0.0784 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Janus US Market Sensitivity

As returns on market increase, returns on owning Janus US are expected to decrease at a much smaller rate. During bear market, Janus US is likely to outperform the market.
One Month Beta |Analyze Janus US Twenty Demand Trend
Check current 30 days Janus US correlation with market (DOW)
β = -0.4972
Janus US Almost negative betaJanus US Twenty Beta Legend

Janus US Twenty Technical Analysis

Transformation
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Janus US Projected Return Density Against Market

Assuming 30 trading days horizon, Janus US Twenty A EUR Acc Hedged has beta of -0.4972 suggesting as returns on benchmark increase, returns on holding Janus US are expected to decrease at a much smaller rate. During bear market, however, Janus US Twenty A EUR Acc Hedged is likely to outperform the market. Moreover, Janus US Twenty A EUR Acc Hedged has an alpha of 0.3542 implying that it can potentially generate 0.3542% 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 Janus US is 256.55. The daily returns are destributed with a variance of 0.57 and standard deviation of 0.76. The mean deviation of Janus US Twenty A EUR Acc Hedged is currently at 0.56. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.35
β
Beta against DOW=0.5
σ
Overall volatility
=0.76
Ir
Information ratio =0.06

Janus US Return Volatility

Janus US Twenty A EUR Acc Hedged accepts 0.7582% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Janus US Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Janus US Investment Opportunity

Janus US Twenty A EUR Acc Hedged has a volatility of 0.76 and is 1.73 times more volatile than DOW. 6% of all equities and portfolios are less risky than Janus US. Compared to the overall equity markets, volatility of historical daily returns of Janus US Twenty A EUR Acc Hedged is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Janus US Twenty A EUR Acc Hedged to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Janus US to be traded at €30.33 in 30 days. As returns on market increase, returns on owning Janus US are expected to decrease at a much smaller rate. During bear market, Janus US is likely to outperform the market.

Janus US correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Janus US Twenty A EUR Acc Hedg and equity matching DJI index in the same portfolio.

Janus US Volatility Indicators

Janus US Twenty A EUR Acc Hedged Current Risk Indicators

Additionally see Investing Opportunities. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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