Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000QQD8 -- Ireland Fund  

GBp 1,513  56.00  3.57%

We consider Old Mutual unknown risk. Old Mutual US maintains Sharpe Ratio (i.e. Efficiency) of 0.0301 which implies Old Mutual US had 0.0301% 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 fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Old Mutual US which you can use to evaluate future volatility of the fund. Please check Old Mutual US Coefficient Of Variation of 1071.33 and Risk Adjusted Performance of 0.0463 to confirm if risk estimate we provide are consistent with the epected return of 0.0775%.
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.
One Month Beta |Analyze Old Mutual US Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = -0.2004
Old Mutual Almost negative betaOld Mutual US Beta Legend

Old Mutual US Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual US Dividend U1 GBP Acc has beta of -0.2004 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 US Dividend U1 GBP Acc is likely to outperform the market. Moreover, Old Mutual US Dividend U1 GBP Acc has an alpha of 0.0724 implying that it can potentially generate 0.0724% 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 3317.83. The daily returns are destributed with a variance of 6.62 and standard deviation of 2.57. The mean deviation of Old Mutual US Dividend U1 GBP Acc is currently at 1.52. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.07
β
Beta against DOW=0.2
σ
Overall volatility
=2.57
Ir
Information ratio =0.19

Old Mutual Return Volatility

Old Mutual US Dividend U1 GBP Acc accepts 2.5726% volatility on return distribution over the 30 days horizon. DOW inherits 0.4303% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Old Mutual Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Old Mutual Investment Opportunity

Old Mutual US Dividend U1 GBP Acc has a volatility of 2.57 and is 5.98 times more volatile than DOW. 23% 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 US Dividend U1 GBP Acc is lower than 23 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual US Dividend U1 GBP Acc 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;1452.48 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

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual US Dividend U1 GBP and equity matching DJI index in the same portfolio.

Old Mutual Volatility Indicators

Old Mutual US Dividend U1 GBP Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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