Hermes Global (Ireland) Risk Analysis And Volatility

IE00BWTNM305 -- Ireland Fund  

USD 2.18  0.02  0.91%

We consider Hermes Global unknown risk. Hermes Global Emerging holds Efficiency (Sharpe) Ratio of 0.0924 which attests that Hermes Global Emerging had 0.0924% of return per unit of risk over the last 2 months. Our philosophy towards determining 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 Hermes Global Emerging which you can use to evaluate future volatility of the entity. Please check out Hermes Global Market Risk Adjusted Performance of (0.92) and Risk Adjusted Performance of (0.11) to validate if risk estimate we provide are consistent with the epected return of 0.1215%.
Horizon     30 Days    Login   to change

Hermes Global Market Sensitivity

As returns on market increase, Hermes Global returns are expected to increase less than the market. However during bear market, the loss on holding Hermes Global will be expected to be smaller as well.
2 Months Beta |Analyze Hermes Global Emerging Demand Trend
Check current 30 days Hermes Global correlation with market (DOW)
β = 0.0365

Hermes Global Central Daily Price Deviation

Hermes Global Emerging Technical Analysis

Transformation
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Hermes Global Projected Return Density Against Market

Assuming 30 trading days horizon, Hermes Global has beta of 0.0365 . This indicates as returns on market go up, Hermes Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Hermes Global Emerging Markets R USD will be expected to be much smaller as well. Additionally, Hermes Global Emerging Markets R USD 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 Hermes Global is 1082.11. The daily returns are destributed with a variance of 1.73 and standard deviation of 1.31. The mean deviation of Hermes Global Emerging Markets R USD is currently at 0.86. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=0.03
β
Beta against DOW=0.0365
σ
Overall volatility
=1.31
Ir
Information ratio =0.26

Hermes Global Return Volatility

Hermes Global Emerging Markets R USD accepts 1.3142% volatility on return distribution over the 30 days horizon. DOW inherits 2.0465% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hermes Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Hermes Global Investment Opportunity

DOW has a standard deviation of returns of 2.05 and is 1.56 times more volatile than Hermes Global Emerging Markets R USD. 11% of all equities and portfolios are less risky than Hermes Global. Compared to the overall equity markets, volatility of historical daily returns of Hermes Global Emerging Markets R USD is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Hermes Global Emerging Markets R USD to protect your portfolios against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Hermes Global to be traded at $2.14 in 30 days. . As returns on market increase, Hermes Global returns are expected to increase less than the market. However during bear market, the loss on holding Hermes Global will be expected to be smaller as well.

Hermes Global correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Hermes Global Emerging Markets and equity matching DJI index in the same portfolio.

Hermes Global Volatility Indicators

Hermes Global Emerging Markets R USD Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.
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