Mercer Low (Ireland) Risk Analysis And Volatility Evaluation

F00000MWSJ -- Ireland Fund  

EUR 238.36  2.01  0.85%

Our philosophy towards estimating 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 Mercer Low which you can use to evaluate future volatility of the organization. Please verify Mercer Low Volatility Equity M 3 Mean Deviation of 0.4744 and Risk Adjusted Performance of 0.11 to check out if risk estimate we provide are consistent with the epected return of 0.0%.
 Time Horizon     30 Days    Login   to change

Mercer Low Market Sensitivity

As returns on market increase, Mercer Low returns are expected to increase less than the market. However during bear market, the loss on holding Mercer Low will be expected to be smaller as well.
One Month Beta |Analyze Mercer Low Volatility Demand Trend
Check current 30 days Mercer Low correlation with market (DOW)
β = 0.2447
Mercer Low Small BetaMercer Low Volatility Beta Legend

Mercer Low Volatility Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Low has beta of 0.2447 suggesting as returns on market go up, Mercer Low average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Mercer Low Volatility Equity M 3 will be expected to be much smaller as well. Additionally, Mercer Low Volatility Equity M 3 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 
α
Alpha over DOW
=0.22
β
Beta against DOW=0.24
σ
Overall volatility
=0.00
Ir
Information ratio =0.27

Actual Return Volatility

Mercer Low Volatility Equity M 3 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.4566% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mercer Low Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Mercer Low Investment Opportunity
DOW has a standard deviation of returns of 0.46 and is 9.223372036854776E16 times more volatile than Mercer Low Volatility Equity M 3. 0% of all equities and portfolios are less risky than Mercer Low. Compared to the overall equity markets, volatility of historical daily returns of Mercer Low Volatility Equity M 3 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Mercer Low Volatility Equity M 3 to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Mercer Low to be traded at €262.2 in 30 days. As returns on market increase, Mercer Low returns are expected to increase less than the market. However during bear market, the loss on holding Mercer Low will be expected to be smaller as well.

Mercer Low correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Mercer Low Volatility Equity M and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.