Mercer Low (Ireland) Risk Analysis And Volatility Evaluation

F00000MWSJ -- Ireland Fund  

EUR 235.82  3.38  1.41%

We consider Mercer Low unknown risk. Mercer Low Volatility has Sharpe Ratio of 0.1693 which conveys that Mercer Low Volatility had 0.1693% of return per unit of risk over the last 1 month. Our philosophy towards estimating 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 Mercer Low which you can use to evaluate future volatility of the organization. Please verify Mercer Low Volatility Equity M 3 Mean Deviation of 1.11 and Risk Adjusted Performance of 0.01 to check out if risk estimate we provide are consistent with the epected return of 0.0936%.
Horizon     30 Days    Login   to change

Mercer Low Volatility Technical Analysis

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Mercer Low Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Low has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Mercer Low are completely uncorrelated. Furthermore, Mercer Low Volatility Equity M 3It does not look like Mercer Low alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Mercer Low is 590.82. The daily returns are destributed with a variance of 0.31 and standard deviation of 0.55. The mean deviation of Mercer Low Volatility Equity M 3 is currently at 0.38. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.00

Mercer Low Return Volatility

Mercer Low Volatility Equity M 3 accepts 0.5529% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

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


Investment Outlook

Mercer Low Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.93 times more volatile than Mercer Low Volatility Equity M 3. 5% 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 5 (%) of all global equities and portfolios over the last 30 days.

Mercer Low Volatility Indicators

Mercer Low Volatility Equity M 3 Current Risk Indicators

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