Sanlam Managed (Ireland) Backtesting

IE00B94Q3K76 -- Ireland Fund  

GBp 1.20  0.0033  0.00%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Sanlam Managed Risk A GBP and determine expected loss or profit from investing in Sanlam Managed over given investment horizon. Please also check Sanlam Managed Hype Analysis, Sanlam Managed Correlation, Portfolio Optimization, Sanlam Managed Volatility as well as analyze Sanlam Managed Alpha and Beta and Sanlam Managed Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Sanlam Managed 'What if' Analysis

November 22, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
January 21, 2019
0.00
If you would invest  0.00  in Sanlam Managed on November 22, 2018 and sell it all today you would earn a total of 0.00 from holding Sanlam Managed Risk A GBP or generate 0.0% return on investment in Sanlam Managed over 60 days. Sanlam Managed is related to or competes with BNY Mellon, and Tokio Marine. The investment objective of the Fund is to provide long term capital growth through exposure to world equity markets

Sanlam Managed Upside/Downside Indicators

Information Ratio0.046
Maximum Drawdown4.06
Potential Upside0.8065
  

Sanlam Managed Market Premium Indicators

Risk Adjusted Performance(0.06)
Jensen Alpha(0.026221)
Total Risk Alpha(0.005756)
Treynor Ratio3.69

Sanlam Managed Risk Backtested Returns

Macroaxis considers Sanlam Managed to be extremely volatile. Sanlam Managed Risk owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2455 which indicates the organization had -0.2455% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring 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. Sanlam Managed Risk A GBP exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sanlam Managed Coefficient Of Variation of (4,309) and Risk Adjusted Performance of (0.06) to confirm risk estimate we provide. The entity has beta of -0.007 which indicates as returns on market increase, returns on owning Sanlam Managed are expected to decrease at a much smaller rate. During bear market, Sanlam Managed is likely to outperform the market. Even though it is essential to pay attention to Sanlam Managed Risk current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Sanlam Managed Risk A GBP exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.32) 
correlation synergy

Poor reverse predictability

Sanlam Managed Risk A GBP has poor reverse predictability. Overlapping area represents the amount of predictability between Sanlam Managed time series from November 22, 2018 to December 22, 2018 and December 22, 2018 to January 21, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Sanlam Managed Risk price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current Sanlam Managed price fluctuation can be explain by its past prices. Given that Sanlam Managed Risk A GBP has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Sanlam Managed for similar time interval.
Correlation Coefficient-0.32
Spearman Rank Test-1.0
Residual Average0.0
Price Variance0.0

Sanlam Managed Risk lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Sanlam Managed regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Sanlam Managed Lagged Returns

 Regressed Prices 
      Timeline 

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Please also check Sanlam Managed Hype Analysis, Sanlam Managed Correlation, Portfolio Optimization, Sanlam Managed Volatility as well as analyze Sanlam Managed Alpha and Beta and Sanlam Managed Performance. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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