Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F000001V0M -- Ireland Fund  

GBp 1,964  2.00  0.10%

Macroaxis considers Old Mutual to be unknown risk. Old Mutual European maintains Sharpe Ratio (i.e. Efficiency) of -0.0165 which implies Old Mutual European had -0.0165% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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. Old Mutual European exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Old Mutual European Coefficient Of Variation of 1968.32 and Risk Adjusted Performance of 0.01 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Old Mutual European Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Old Mutual are completely uncorrelated. Furthermore, Old Mutual European Best IdeasIt does not look like Old Mutual alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Old Mutual is -6072.33. The daily returns are destributed with a variance of 0.55 and standard deviation of 0.74. The mean deviation of Old Mutual European Best Ideas is currently at 0.39. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.74
Ir
Information ratio =0.00

Old Mutual Return Volatility

Old Mutual European Best Ideas accepts 0.74% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Old Mutual Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Old Mutual Investment Opportunity

Old Mutual European Best Ideas has a volatility of 0.74 and is 1.64 times more volatile than DOW. 6% of all equities and portfolios are less risky than Old Mutual. Compared to the overall equity markets, volatility of historical daily returns of Old Mutual European Best Ideas is lower than 6 (%) of all global equities and portfolios over the last 30 days.

Old Mutual Volatility Indicators

Old Mutual European Best Ideas Current Risk Indicators

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