Man GLG (Ireland) Risk Analysis And Volatility Evaluation

IE00B665M716 -- Ireland Fund  

GBp 17,056  6.00  0.0352%

We consider Man GLG unknown risk. Man GLG Japan has Sharpe Ratio of 0.0027 which conveys that Man GLG Japan had 0.0027% of return per unit of risk over the last 2 months. 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 verify Man GLG Japan CoreAlpha Eq D H GBP Acc to check out if risk estimate we provide are consistent with the epected return of 0.0061%.
Horizon     30 Days    Login   to change

Man GLG Japan Technical Analysis

Transformation
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Man GLG Projected Return Density Against Market

Assuming 30 trading days horizon, Man GLG has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Man GLG are completely uncorrelated. Furthermore, Man GLG Japan CoreAlpha Eq D H GBP AccIt does not look like Man GLG alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Man GLG is 36809.01. The daily returns are destributed with a variance of 5.06 and standard deviation of 2.25. The mean deviation of Man GLG Japan CoreAlpha Eq D H GBP Acc is currently at 1.43. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=2.25
Ir
Information ratio =0.00

Man GLG Return Volatility

Man GLG Japan CoreAlpha Eq D H GBP Acc accepts 2.25% volatility on return distribution over the 30 days horizon. DOW inherits 1.3173% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Man GLG Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Man GLG Investment Opportunity

Man GLG Japan CoreAlpha Eq D H GBP Acc has a volatility of 2.25 and is 1.7 times more volatile than DOW. 20% 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 Japan CoreAlpha Eq D H GBP Acc is lower than 20 (%) of all global equities and portfolios over the last 30 days.

Man GLG Volatility Indicators

Man GLG Japan CoreAlpha Eq D H GBP Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
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