We consider Perkins Global unknown risk. Perkins Global Value maintains Sharpe Ratio (i.e. Efficiency) of 0.0322 which implies Perkins Global Value had 0.0322% of return per unit of risk over the last 2 months. Our philosophy towards forecasting 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 Perkins Global Value which you can use to evaluate future volatility of the fund. Please check Perkins Global Value Coefficient Of Variation of 2001.32, Semi Deviation of 0.4 and Risk Adjusted Performance of 0.0612 to confirm if risk estimate we provide are consistent with the epected return of 0.0391%.
|Horizon||30 Days Login to change|
Perkins Global Market Sensitivity
|As returns on market increase, returns on owning Perkins Global are expected to decrease at a much smaller rate. During bear market, Perkins Global is likely to outperform the market.2 Months Beta |Analyze Perkins Global Value Demand TrendCheck current 30 days Perkins Global correlation with market (DOW)|
β = -0.1798
Perkins Global Central Daily Price Deviation
Perkins Global Value Technical Analysis
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Perkins Global Projected Return Density Against MarketAssuming 30 trading days horizon, Perkins Global Value A EUR Acc Hedged has beta of -0.1798 . This indicates as returns on benchmark increase, returns on holding Perkins Global are expected to decrease at a much smaller rate. During bear market, however, Perkins Global Value A EUR Acc Hedged is likely to outperform the market. Moreover, Perkins Global Value A EUR Acc Hedged has an alpha of 0.0184 implying that it can potentially generate 0.0184% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of Perkins Global is 3108.59. The daily returns are destributed with a variance of 1.48 and standard deviation of 1.22. The mean deviation of Perkins Global Value A EUR Acc Hedged is currently at 0.76. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
|Alpha over DOW||=||0.0184|
|Beta against DOW||=||0.18|
Perkins Global Return VolatilityPerkins Global Value A EUR Acc Hedged accepts 1.2162% volatility on return distribution over the 30 days horizon. DOW inherits 1.2955% risk (volatility on return distribution) over the 30 days horizon.
DOW has a standard deviation of returns of 1.3 and is 1.07 times more volatile than Perkins Global Value A EUR Acc Hedged. 11% of all equities and portfolios are less risky than Perkins Global. Compared to the overall equity markets, volatility of historical daily returns of Perkins Global Value A EUR Acc Hedged is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Perkins Global Value A EUR Acc Hedged to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Perkins Global to be traded at 14.76 in 30 days. As returns on market increase, returns on owning Perkins Global are expected to decrease at a much smaller rate. During bear market, Perkins Global is likely to outperform the market.
Perkins Global correlation with market