Man GLG (Ireland) Risk Analysis And Volatility Evaluation

F0GBR05V7L -- Ireland Fund  

EUR 179.00  1.65  0.93%

Macroaxis considers Man GLG unknown risk given 1 month investment horizon. Man GLG European has Sharpe Ratio of 0.5774 which conveys that Man GLG European 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 fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Man GLG which you can use to evaluate future volatility of the organization. Please exercise Man GLG European Equity D EUR Acc Mean Deviation of 0.5399 and Risk Adjusted Performance of 0.19 to check out if our risk estimates are consistent with your expectations.
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 European Demand Trend
Check current 30 days Man GLG correlation with market (DOW)
β = -0.0648

Man GLG Central Daily Price Deviation

Man GLG European Technical Analysis

Transformation
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Man GLG Projected Return Density Against Market

Assuming 30 trading days horizon, Man GLG European Equity D EUR Acc has beta of -0.0648 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 European Equity D EUR Acc is likely to outperform the market. Additionally, Man GLG European Equity D EUR Acc 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 Man GLG is 173.21. The daily returns are destributed with a variance of 0.49 and standard deviation of 0.7. The mean deviation of Man GLG European Equity D EUR Acc is currently at 0.54. For similar time horizon, the selected benchmark (DOW) has volatility of 1.21
α
Alpha over DOW
=0.13
β
Beta against DOW=0.06
σ
Overall volatility
=0.70
Ir
Information ratio =0.0073

Man GLG Return Volatility

Man GLG European Equity D EUR Acc accepts 0.6986% volatility on return distribution over the 30 days horizon. DOW inherits 1.1939% 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

Insignificant

Investment Outlook

Man GLG Investment Opportunity

DOW has a standard deviation of returns of 1.19 and is 1.7 times more volatile than Man GLG European Equity D EUR Acc. 6% 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 European Equity D EUR Acc is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Man GLG European Equity D EUR Acc to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Man GLG to be traded at €196.9 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

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Man GLG European Equity D EUR and equity matching DJI index in the same portfolio.

Man GLG Volatility Indicators

Man GLG European Equity D EUR Acc Current Risk Indicators

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