Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F000001V0M -- Ireland Fund  

GBp 1,784  4.00  0.22%

Our philosophy towards forecasting 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 technical indicators for Old Mutual European which you can use to evaluate future volatility of the fund. Please check Old Mutual European Standard Deviation of 1408.29, Downside Deviation of 2.34 and Risk Adjusted Performance of 0.2185 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Old Mutual Market Sensitivity

As returns on market increase, returns on owning Old Mutual are expected to decrease by larger amounts. On the other hand, during market turmoil, Old Mutual is expected to significantly outperform it.
2 Months Beta |Analyze Old Mutual European Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = -256.6054

Old Mutual Central Daily Price Deviation

Old Mutual European Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual European Best Ideas has beta of -256.6054 suggesting as returns on its benchmark rise, returns on holding Old Mutual European Best Ideas are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Old Mutual is expected to outperform its benchmark. In addition to that, Old Mutual European Best Ideas has an alpha of 169.944 implying that it can potentially generate 169.944% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=169.94
β
Beta against DOW=256.61
σ
Overall volatility
=0.00
Ir
Information ratio =0.15

Old Mutual Return Volatility

Old Mutual European Best Ideas accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.3037% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Old Mutual Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Old Mutual Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 9.223372036854776E16 times more volatile than Old Mutual European Best Ideas. 0% 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 0 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual European Best Ideas to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Old Mutual to be traded at p;1766.16 in 30 days. As returns on market increase, returns on owning Old Mutual are expected to decrease by larger amounts. On the other hand, during market turmoil, Old Mutual is expected to significantly outperform it.

Old Mutual correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual European Best Ideas and equity matching DJI index in the same portfolio.

Old Mutual Volatility Indicators

Old Mutual European Best Ideas Current Risk Indicators

Additionally see Investing Opportunities. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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