Man GLG (Ireland) Risk Analysis And Volatility Evaluation

IE00BWBSFJ00 -- Ireland Fund  

EUR 114.13  0.78  0.69%

We consider Man GLG unknown risk. Man GLG Eurp has Sharpe Ratio of 0.0181 which conveys that Man GLG Eurp had 0.0181% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Man GLG which you can use to evaluate future volatility of the organization. Please verify Man GLG Eurp Mid Cap Eq Alt IN Acc Mean Deviation of 0.0546 and Risk Adjusted Performance of 0.0902 to check out if risk estimate we provide are consistent with the epected return of 0.0099%.
Horizon     30 Days    Login   to change

Man GLG Market Sensitivity

As returns on market increase, Man GLG returns are expected to increase less than the market. However during bear market, the loss on holding Man GLG will be expected to be smaller as well.
One Month Beta |Analyze Man GLG Eurp Demand Trend
Check current 30 days Man GLG correlation with market (DOW)
β = 0.0783
Man GLG Small BetaMan GLG Eurp Beta Legend

Man GLG Eurp Technical Analysis

Transformation
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Man GLG Projected Return Density Against Market

Assuming 30 trading days horizon, Man GLG has beta of 0.0783 . This indicates as returns on market go up, Man GLG average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Man GLG Eurp Mid Cap Eq Alt IN Acc will be expected to be much smaller as well. Moreover, Man GLG Eurp Mid Cap Eq Alt IN Acc has an alpha of 0.0044 implying that it can potentially generate 0.0044% 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 Man GLG is 5527.34. The daily returns are destributed with a variance of 0.3 and standard deviation of 0.55. The mean deviation of Man GLG Eurp Mid Cap Eq Alt IN Acc is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0044
β
Beta against DOW=0.08
σ
Overall volatility
=0.55
Ir
Information ratio =1.51

Man GLG Return Volatility

Man GLG Eurp Mid Cap Eq Alt IN Acc accepts 0.5458% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Man GLG Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Man GLG Investment Opportunity

Man GLG Eurp Mid Cap Eq Alt IN Acc has a volatility of 0.55 and is 1.22 times more volatile than DOW. 4% of all equities and portfolios are less risky than Man GLG. Compared to the overall equity markets, volatility of historical daily returns of Man GLG Eurp Mid Cap Eq Alt IN Acc is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Man GLG Eurp Mid Cap Eq Alt IN Acc to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Man GLG to be traded at €125.54 in 30 days. As returns on market increase, Man GLG returns are expected to increase less than the market. However during bear market, the loss on holding Man GLG will be expected to be smaller as well.

Man GLG correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Man GLG Eurp Mid Cap Eq Alt IN and equity matching DJI index in the same portfolio.

Man GLG Volatility Indicators

Man GLG Eurp Mid Cap Eq Alt IN Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.
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