Hermes Asia (Ireland) Risk Analysis And Volatility Evaluation

IE00BRHY9S47 -- Ireland Fund  

EUR 2.65  0.03  1.15%

Macroaxis considers Hermes Asia to be unknown risk. Hermes Asia Ex holds Efficiency (Sharpe) Ratio of -0.118 which attests that Hermes Asia Ex had -0.118% 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 Asia Ex 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 Asia Downside Deviation of 4.38, Market Risk Adjusted Performance of 0.3309 and Risk Adjusted Performance of 0.0716 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Hermes Asia Market Sensitivity

As returns on market increase, Hermes Asia returns are expected to increase less than the market. However during bear market, the loss on holding Hermes Asia will be expected to be smaller as well.
2 Months Beta |Analyze Hermes Asia Ex Demand Trend
Check current 30 days Hermes Asia correlation with market (DOW)
β = 0.3699

Hermes Asia Central Daily Price Deviation

Hermes Asia Ex Technical Analysis

Transformation
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Hermes Asia Projected Return Density Against Market

Assuming 30 trading days horizon, Hermes Asia has beta of 0.3699 . This indicates as returns on market go up, Hermes Asia average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Hermes Asia Ex Japan Equity C EUR Acc will be expected to be much smaller as well. Moreover, Hermes Asia Ex Japan Equity C EUR Acc has an alpha of 0.1792 implying that it can potentially generate 0.1792% 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 Hermes Asia is -847.43. The daily returns are destributed with a variance of 0.61 and standard deviation of 0.78. The mean deviation of Hermes Asia Ex Japan Equity C EUR Acc is currently at 0.52. For similar time horizon, the selected benchmark (DOW) has volatility of 1.32
α
Alpha over DOW
=0.18
β
Beta against DOW=0.37
σ
Overall volatility
=0.78
Ir
Information ratio =0.11

Hermes Asia Return Volatility

Hermes Asia Ex Japan Equity C EUR Acc accepts 0.7782% volatility on return distribution over the 30 days horizon. DOW inherits 1.3305% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hermes Asia Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Hermes Asia Investment Opportunity

DOW has a standard deviation of returns of 1.33 and is 1.71 times more volatile than Hermes Asia Ex Japan Equity C EUR Acc. 7% of all equities and portfolios are less risky than Hermes Asia. Compared to the overall equity markets, volatility of historical daily returns of Hermes Asia Ex Japan Equity C EUR Acc is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Hermes Asia Ex Japan Equity C EUR Acc to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Hermes Asia to be traded at €2.92 in 30 days. As returns on market increase, Hermes Asia returns are expected to increase less than the market. However during bear market, the loss on holding Hermes Asia will be expected to be smaller as well.

Hermes Asia correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Hermes Asia Ex Japan Equity C and equity matching DJI index in the same portfolio.

Hermes Asia Volatility Indicators

Hermes Asia Ex Japan Equity C EUR Acc Current Risk Indicators

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