Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F000001V0M -- Ireland Fund  

GBp 1,931  42.00  2.13%

Macroaxis considers Old Mutual not too risky given 1 month investment horizon. Old Mutual European maintains Sharpe Ratio (i.e. Efficiency) of 0.1779 which implies Old Mutual European had 0.1779% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Old Mutual European which you can use to evaluate future volatility of the fund. Please employ Old Mutual European Coefficient Of Variation of 468.78 and Risk Adjusted Performance of 0.1121 to confirm if our risk estimates are consistent with your expectations.
 Time 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.
One Month Beta |Analyze Old Mutual European Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = -1914.6885
Old Mutual Large Negative BetaOld Mutual European Beta Legend

Old Mutual European Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Old Mutual European Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual European Best Ideas has beta of -1914.6885 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 608.5639 implying that it can potentially generate 608.5639% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Old Mutual is 562.2. The daily returns are destributed with a variance of 5.27 and standard deviation of 2.3. The mean deviation of Old Mutual European Best Ideas is currently at 1.51. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=608.56
β
Beta against DOW=1,915
σ
Overall volatility
=2.30
Ir
Information ratio =0.21

Actual Return Volatility

Old Mutual European Best Ideas accepts 2.2965% volatility on return distribution over the 30 days horizon. DOW inherits 0.5701% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Old Mutual Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Completely opposite to market

Investment Outlook

Old Mutual Investment Opportunity
Old Mutual European Best Ideas has a volatility of 2.3 and is 4.04 times more volatile than DOW. 21% 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 21 (%) 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 unexpected downward movement. The market is reacting to new fundamentals. Check odds of Old Mutual to be traded at p;1853.76 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

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.
Additionally see Investing Opportunities. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
vendors/bower_components/jquery.easy-pie-chart/dist/jquery.easypiechart.min.js">