Mediolanum (Ireland) Risk Analysis And Volatility Evaluation

F000000GLC -- Ireland Fund  

EUR 13.88  0.02  0.14%

Macroaxis considers Mediolanum to be unknown risk. Mediolanum Ch Provident has Sharpe Ratio of -0.5774 which conveys that Mediolanum Ch Provident had -0.5774% 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. 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 Mean Deviation of 0.1346 and Risk Adjusted Performance of 0.10 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.
One Month Beta |Analyze Mediolanum Ch Provident Demand Trend
Check current 30 days Mediolanum correlation with market (DOW)
β = -0.0123
Mediolanum Almost negative betaMediolanum Ch Provident Beta Legend

Mediolanum Ch Provident Technical Analysis

Transformation
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Mediolanum Projected Return Density Against Market

Assuming 30 trading days horizon, Mediolanum Ch Provident 2 has beta of -0.0123 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. Additionally, Mediolanum Ch Provident 2 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 Mediolanum is -173.21. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.17. The mean deviation of Mediolanum Ch Provident 2 is currently at 0.13. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.04
β
Beta against DOW=0.01
σ
Overall volatility
=0.17
Ir
Information ratio =0.38

Mediolanum Return Volatility

Mediolanum Ch Provident 2 accepts 0.1659% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mediolanum Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Mediolanum Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 6.24 times more volatile than Mediolanum Ch Provident 2. 1% 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 1 (%) 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 normal downward trend and little activity. Check odds of Mediolanum to be traded at €13.74 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

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Mediolanum Ch Provident 2 and equity matching DJI index in the same portfolio.

Mediolanum Volatility Indicators

Mediolanum Ch Provident 2 Current Risk Indicators

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