Macroaxis considers Mediolanum to be unknown risk. Mediolanum Ch Provident has Sharpe Ratio of -0.5 which conveys that Mediolanum Ch Provident had -0.5% of return per unit of risk over the last 2 months. 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. Mediolanum exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Mediolanum Ch Provident 2 Downside Deviation of 1.02, Mean Deviation of 0.3079 and Risk Adjusted Performance of 0.0444 to check out risk estimate we provide.
|Horizon||30 Days Login to change|
Mediolanum Market Sensitivity
|As returns on market increase, returns on owning Mediolanum are expected to decrease at a much smaller rate. During bear market, Mediolanum is likely to outperform the market.2 Months Beta |Analyze Mediolanum Ch Provident Demand TrendCheck current 30 days Mediolanum correlation with market (DOW)|
β = -0.0197
Mediolanum Central Daily Price Deviation
Mediolanum Ch Provident Technical Analysis
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Mediolanum Projected Return Density Against MarketAssuming 30 trading days horizon, Mediolanum Ch Provident 2 has beta of -0.0197 suggesting as returns on benchmark increase, returns on holding Mediolanum are expected to decrease at a much smaller rate. During bear market, however, Mediolanum Ch Provident 2 is likely to outperform the market. Moreover, Mediolanum Ch Provident 2 has an alpha of 0.0122 implying that it can potentially generate 0.0122% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of Mediolanum is -200.0. The daily returns are destributed with a variance of 0.92 and standard deviation of 0.96. The mean deviation of Mediolanum Ch Provident 2 is currently at 0.72. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
|Alpha over DOW||=||0.0122|
|Beta against DOW||=||0.02|
Mediolanum Return VolatilityMediolanum Ch Provident 2 accepts 0.958% volatility on return distribution over the 30 days horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
DOW has a standard deviation of returns of 1.28 and is 1.33 times more volatile than Mediolanum Ch Provident 2. 8% of all equities and portfolios are less risky than Mediolanum. Compared to the overall equity markets, volatility of historical daily returns of Mediolanum Ch Provident 2 is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use Mediolanum Ch Provident 2 to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Mediolanum to be traded at 13.04 in 30 days. As returns on market increase, returns on owning Mediolanum are expected to decrease at a much smaller rate. During bear market, Mediolanum is likely to outperform the market.
Mediolanum correlation with market