Man GLG (Ireland) Risk Analysis And Volatility Evaluation

IE00BWBSFJ00 -- Ireland Fund  

EUR 115.16  1.14  0.98%

Macroaxis considers Man GLG to be unknown risk. Man GLG Eurp has Sharpe Ratio of -0.0595 which conveys that Man GLG Eurp had -0.0595% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Man GLG exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Man GLG Eurp Mid Cap Eq Alt IN Acc Mean Deviation of 0.2974 and Risk Adjusted Performance of 0.0498 to check out risk estimate we provide.
 Time 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 = 0.4911
Man GLG Small BetaMan GLG Eurp Beta Legend

Man GLG Eurp Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Man GLG has beta of 0.4911 . 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. Additionally, Man GLG Eurp Mid Cap Eq Alt IN Acc 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 Man GLG is -1679.46. The daily returns are destributed with a variance of 0.53 and standard deviation of 0.73. The mean deviation of Man GLG Eurp Mid Cap Eq Alt IN Acc is currently at 0.47. For similar time horizon, the selected benchmark (DOW) has volatility of 0.62
α
Alpha over DOW
=0.0095
β
Beta against DOW=0.49
σ
Overall volatility
=0.73
Ir
Information ratio =0.1

Actual Return Volatility

Man GLG Eurp Mid Cap Eq Alt IN Acc accepts 0.731% volatility on return distribution over the 30 days horizon. DOW inherits 0.5886% 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 0.73 and is 1.24 times more volatile than DOW. 6% 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 6 (%) of all global equities and portfolios over the last 30 days. Use Man GLG Eurp Mid Cap Eq Alt IN Acc to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Man GLG to be traded at €112.86 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

Very 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.
Please also check Risk vs Return Analysis. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.