Janus Balanced (Ireland) Risk Analysis And Volatility Evaluation

IE00BFSS8623 -- Ireland Fund  

CAD 13.45  0.00  0.00%

Macroaxis considers Janus Balanced to be unknown risk. Janus Balanced I holds Efficiency (Sharpe) Ratio of -0.5774 which attests that Janus Balanced I 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. Janus Balanced I exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Janus Balanced Downside Deviation of 1.16, Market Risk Adjusted Performance of 0.36 and Risk Adjusted Performance of 0.0279 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Janus Balanced Market Sensitivity

As returns on market increase, returns on owning Janus Balanced are expected to decrease at a much smaller rate. During bear market, Janus Balanced is likely to outperform the market.
One Month Beta |Analyze Janus Balanced I Demand Trend
Check current 30 days Janus Balanced correlation with market (DOW)
β = -0.0426
Janus Balanced Almost negative betaJanus Balanced I Beta Legend

Janus Balanced I Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Janus Balanced Projected Return Density Against Market

Assuming 30 trading days horizon, Janus Balanced I CAD Acc Hedged has beta of -0.0426 . This indicates as returns on benchmark increase, returns on holding Janus Balanced are expected to decrease at a much smaller rate. During bear market, however, Janus Balanced I CAD Acc Hedged is likely to outperform the market. Moreover, Janus Balanced I CAD Acc Hedged has an alpha of 0.008 implying that it can potentially generate 0.008% 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 Janus Balanced is -173.21. The daily returns are destributed with a variance of 0.15 and standard deviation of 0.38. The mean deviation of Janus Balanced I CAD Acc Hedged is currently at 0.3. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.008
β
Beta against DOW=0.04
σ
Overall volatility
=0.38
Ir
Information ratio =0.21

Janus Balanced Return Volatility

Janus Balanced I CAD Acc Hedged accepts 0.3838% 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

Janus Balanced Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Janus Balanced Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 2.79 times more volatile than Janus Balanced I CAD Acc Hedged. 3% of all equities and portfolios are less risky than Janus Balanced. Compared to the overall equity markets, volatility of historical daily returns of Janus Balanced I CAD Acc Hedged is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use Janus Balanced I CAD 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 Janus Balanced to be traded at C$13.32 in 30 days. As returns on market increase, returns on owning Janus Balanced are expected to decrease at a much smaller rate. During bear market, Janus Balanced is likely to outperform the market.

Janus Balanced correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Janus Balanced I CAD Acc Hedge and equity matching DJI index in the same portfolio.

Janus Balanced Volatility Indicators

Janus Balanced I CAD Acc Hedged 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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