Hermes Global (Ireland) Risk Analysis And Volatility Evaluation

IE00BBHXD765 -- Ireland Fund  

GBp 125.00  1.00  0.81%

Macroaxis considers Hermes Global to be unknown risk. Hermes Global Emerging holds Efficiency (Sharpe) Ratio of -0.5774 which attests that Hermes Global Emerging had -0.5774% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining 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. Hermes Global Emerging exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Hermes Global to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Hermes Global Emerging Technical Analysis

Transformation
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Hermes Global Projected Return Density Against Market

Assuming 30 trading days horizon, Hermes Global has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Hermes Global are completely uncorrelated. Furthermore, Hermes Global Emerging MarketsIt does not look like Hermes Global alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Hermes Global is -173.21. The daily returns are destributed with a variance of 12.06 and standard deviation of 3.47. The mean deviation of Hermes Global Emerging Markets is currently at 2.67. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=3.47
Ir
Information ratio =0.00

Hermes Global Return Volatility

Hermes Global Emerging Markets accepts 3.4728% volatility on return distribution over the 30 days horizon. DOW inherits 1.0603% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hermes Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Hermes Global Investment Opportunity

Hermes Global Emerging Markets has a volatility of 3.47 and is 3.27 times more volatile than DOW. 31% of all equities and portfolios are less risky than Hermes Global. Compared to the overall equity markets, volatility of historical daily returns of Hermes Global Emerging Markets is lower than 31 (%) of all global equities and portfolios over the last 30 days.

Hermes Global Volatility Indicators

Hermes Global Emerging Markets Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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