Man GLG (Ireland) Risk Analysis And Volatility Evaluation

IE00B01D9G61 -- Ireland Fund  

EUR 194.54  4.34  2.18%

Macroaxis considers Man GLG to be unknown risk. Man GLG European has Sharpe Ratio of -0.5 which conveys that Man GLG European had -0.5% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Man GLG exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Man GLG European Equity D EUR Acc Mean Deviation of 0.1947 and Risk Adjusted Performance of 0.0683 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Man GLG Market Sensitivity

As returns on market increase, Man GLG returns are expected to increase less than the market. However during bear market, the loss on holding Man GLG will be expected to be smaller as well.
One Month Beta |Analyze Man GLG European Demand Trend
Check current 30 days Man GLG correlation with market (DOW)
β = 0.2599
Man GLG Small BetaMan GLG European Beta Legend

Man GLG European Technical Analysis

Transformation
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Man GLG Projected Return Density Against Market

Assuming 30 trading days horizon, Man GLG has beta of 0.2599 . This indicates as returns on market go up, Man GLG average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Man GLG European Equity D EUR Acc will be expected to be much smaller as well. Moreover, Man GLG European Equity D EUR Acc has an alpha of 0.0402 implying that it can potentially generate 0.0402% 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 Man GLG is -200.0. The daily returns are destributed with a variance of 1.19 and standard deviation of 1.09. The mean deviation of Man GLG European Equity D EUR Acc is currently at 0.82. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.0402
β
Beta against DOW=0.26
σ
Overall volatility
=1.09
Ir
Information ratio =0.06

Man GLG Return Volatility

Man GLG European Equity D EUR Acc accepts 1.0911% volatility on return distribution over the 30 days horizon. DOW inherits 0.3914% 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

Unaffected

Investment Outlook

Man GLG Investment Opportunity

Man GLG European Equity D EUR Acc has a volatility of 1.09 and is 2.79 times more volatile than DOW. 9% 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 9 (%) of all global equities and portfolios over the last 30 days. Use Man GLG European Equity D EUR Acc to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Man GLG to be traded at €186.76 in 30 days. As returns on market increase, Man GLG returns are expected to increase less than the market. However during bear market, the loss on holding Man GLG will be expected to be smaller as well.

Man GLG correlation with market

Modest 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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