Hermes Multi (Ireland) Risk Analysis And Volatility Evaluation

Macroaxis considers Hermes Multi to be unknown risk. Hermes Multi Strategy holds Efficiency (Sharpe) Ratio of -0.5774 which attests that Hermes Multi Strategy 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 Multi Strategy 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 Multi to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Hermes Multi Strategy Technical Analysis

Transformation
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Hermes Multi Projected Return Density Against Market

Assuming 30 trading days horizon, Hermes Multi has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Hermes Multi are completely uncorrelated. Furthermore, Hermes Multi Strategy Credit F USD AccIt does not look like Hermes Multi 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 Multi is -173.21. The daily returns are destributed with a variance of 0.06 and standard deviation of 0.25. The mean deviation of Hermes Multi Strategy Credit F USD Acc is currently at 0.19. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.25
Ir
Information ratio =0.00

Hermes Multi Return Volatility

Hermes Multi Strategy Credit F USD Acc accepts 0.2478% volatility on return distribution over the 30 days horizon. DOW inherits 1.0618% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hermes Multi Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Hermes Multi Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 4.24 times more volatile than Hermes Multi Strategy Credit F USD Acc. 2% of all equities and portfolios are less risky than Hermes Multi. Compared to the overall equity markets, volatility of historical daily returns of Hermes Multi Strategy Credit F USD Acc is lower than 2 (%) of all global equities and portfolios over the last 30 days.

Hermes Multi Volatility Indicators

Hermes Multi Strategy Credit F USD Acc Current Risk Indicators

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