Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

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-one technical indicators for Old Mutual Global which you can use to evaluate future volatility of the fund. Please check Old Mutual Global Coefficient Of Variation of 586.74 and Risk Adjusted Performance of 0.2327 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 at a much smaller rate. During bear market, Old Mutual is likely to outperform the market.
2 Months Beta |Analyze Old Mutual Global Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = -0.0207

Old Mutual Central Daily Price Deviation

Old Mutual Global Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual Global Bond S GBP has beta of -0.0207 suggesting as returns on benchmark increase, returns on holding Old Mutual are expected to decrease at a much smaller rate. During bear market, however, Old Mutual Global Bond S GBP is likely to outperform the market. Moreover, Old Mutual Global Bond S GBP has an alpha of 0.1704 implying that it can potentially generate 0.1704% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.17
β
Beta against DOW=0.02
σ
Overall volatility
=0.00
Ir
Information ratio =0.31

Old Mutual Return Volatility

Old Mutual Global Bond S GBP accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.3105% 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 1.31 and is 9.223372036854776E16 times more volatile than Old Mutual Global Bond S GBP. 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 Global Bond S GBP is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Global Bond S GBP to protect against small markets fluctuations. The fund experiences very speculative upward sentiment.. Check odds of Old Mutual to be traded at p;0.0 in 30 days. As returns on market increase, returns on owning Old Mutual are expected to decrease at a much smaller rate. During bear market, Old Mutual is likely to outperform the market.

Old Mutual correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual Global Bond S GBP I and equity matching DJI index in the same portfolio.

Old Mutual Volatility Indicators

Old Mutual Global Bond S GBP Current Risk Indicators

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