Hermes Global (Ireland) Risk Analysis And Volatility Evaluation

IE00BBHXD765 -- Ireland Fund  

GBp 122.00  2.00  1.61%

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 2 months. 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 Market Risk Adjusted Performance of 2.44 and Risk Adjusted Performance of (0.1) to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Hermes Global Market Sensitivity

As returns on market increase, returns on owning Hermes Global are expected to decrease at a much smaller rate. During bear market, Hermes Global is likely to outperform the market.
2 Months Beta |Analyze Hermes Global Emerging Demand Trend
Check current 30 days Hermes Global correlation with market (DOW)
β = -0.0218

Hermes Global Central Daily Price Deviation

Hermes Global Emerging Technical Analysis

Transformation
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Hermes Global Projected Return Density Against Market

Assuming 30 trading days horizon, Hermes Global Emerging Markets has beta of -0.0218 . This indicates as returns on benchmark increase, returns on holding Hermes Global are expected to decrease at a much smaller rate. During bear market, however, Hermes Global Emerging Markets is likely to outperform the market. Additionally, Hermes Global Emerging Markets has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 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 1.92 and standard deviation of 1.39. The mean deviation of Hermes Global Emerging Markets is currently at 1.07. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.06
β
Beta against DOW=0.02
σ
Overall volatility
=1.39
Ir
Information ratio =0.19

Hermes Global Return Volatility

Hermes Global Emerging Markets accepts 1.3856% volatility on return distribution over the 30 days horizon. DOW inherits 1.3055% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hermes Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Hermes Global Investment Opportunity

Hermes Global Emerging Markets has a volatility of 1.39 and is 1.06 times more volatile than DOW. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use Hermes Global Emerging Markets to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Hermes Global to be traded at p;118.34 in 30 days. As returns on market increase, returns on owning Hermes Global are expected to decrease at a much smaller rate. During bear market, Hermes Global is likely to outperform the market.

Hermes Global correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Hermes Global Emerging Markets and equity matching DJI index in the same portfolio.

Hermes Global Volatility Indicators

Hermes Global Emerging Markets Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.
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