Man GLG (Ireland) Risk Analysis And Volatility Evaluation

IE00B01D9G61 -- Ireland Fund  

EUR 200.77  1.33  0.66%

Macroaxis considers Man GLG to be not too risky. Man GLG European has Sharpe Ratio of -0.1498 which conveys that Man GLG European had -0.1498% 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 0.7169 and Risk Adjusted Performance of 0.032152 to check out risk estimate we provide.
 Time 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 = -0.764
Man GLG Almost negative betaMan GLG European Beta Legend

Man GLG European Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Man GLG European Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Assuming 30 trading days horizon, Man GLG European Equity D EUR Acc has beta of -0.764 . This indicates 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. Moreover, Man GLG European Equity D EUR Acc has an alpha of 0.0144 implying that it can potentially generate 0.0144% 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 -667.61. The daily returns are destributed with a variance of 0.95 and standard deviation of 0.97. The mean deviation of Man GLG European Equity D EUR Acc is currently at 0.73. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.0144
β
Beta against DOW=0.76
σ
Overall volatility
=0.97
Ir
Information ratio =0.18

Actual Return Volatility

Man GLG European Equity D EUR Acc accepts 0.9736% volatility on return distribution over the 30 days horizon. DOW inherits 0.6387% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Man GLG Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Slightly opposite to market

Investment Outlook

Man GLG Investment Opportunity
Man GLG European Equity D EUR Acc has a volatility of 0.97 and is 1.52 times more volatile than DOW. 8% 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 8 (%) 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 moderate downward daily trend and can be a good diversifier. Check odds of Man GLG to be traded at €196.75 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

Very 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.
Please also check Risk vs Return Analysis. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.