Sanlam FOUR (Ireland) Risk Analysis And Volatility Evaluation

F00000NOH0 -- Ireland Fund  

USD 18.73  0.12  0.64%

Our philosophy towards measuring 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 Sanlam FOUR Global Equity B USD which you can use to evaluate future volatility of the fund. Please validate Sanlam FOUR Coefficient Of Variation of 674.69 and Risk Adjusted Performance of 0.1798 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Sanlam FOUR Market Sensitivity

As returns on market increase, returns on owning Sanlam FOUR are expected to decrease at a much smaller rate. During bear market, Sanlam FOUR is likely to outperform the market.
One Month Beta |Analyze Sanlam FOUR Global Demand Trend
Check current 30 days Sanlam FOUR correlation with market (DOW)
β = -0.1091
Sanlam FOUR Central Price Deviations

Sanlam FOUR Global Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Sanlam FOUR Projected Return Density Against Market

Assuming 30 trading days horizon, Sanlam FOUR Global Equity B USD has beta of -0.1091 suggesting as returns on benchmark increase, returns on holding Sanlam FOUR are expected to decrease at a much smaller rate. During bear market, however, Sanlam FOUR Global Equity B USD is likely to outperform the market. Moreover, Sanlam FOUR Global Equity B USD has an alpha of 0.1172 implying that it can potentially generate 0.1172% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.12
β
Beta against DOW=0.11
σ
Overall volatility
=0.00
Ir
Information ratio =0.15

Sanlam FOUR Return Volatility

Sanlam FOUR Global Equity B USD accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2145% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sanlam FOUR Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Sanlam FOUR Investment Opportunity

DOW has a standard deviation of returns of 1.21 and is 9.223372036854776E16 times more volatile than Sanlam FOUR Global Equity B USD. 0% of all equities and portfolios are less risky than Sanlam FOUR. Compared to the overall equity markets, volatility of historical daily returns of Sanlam FOUR Global Equity B USD is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Sanlam FOUR Global Equity B USD to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Sanlam FOUR to be traded at $18.36 in 30 days. As returns on market increase, returns on owning Sanlam FOUR are expected to decrease at a much smaller rate. During bear market, Sanlam FOUR is likely to outperform the market.

Sanlam FOUR correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sanlam FOUR Global Equity B US and equity matching DJI index in the same portfolio.

Sanlam FOUR Volatility Indicators

Sanlam FOUR Global Equity B USD Current Risk Indicators

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