Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000QQD8 -- Ireland Fund  

GBp 1,521  17.00  1.13%

We consider Old Mutual unknown risk. Old Mutual US maintains Sharpe Ratio (i.e. Efficiency) of 0.0681 which implies Old Mutual US had 0.0681% 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 company 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 351.31 and Risk Adjusted Performance of 0.1819 to confirm if risk estimate we provide are consistent with the epected return of 0.1538%.
 Time Horizon     30 Days    Login   to change

Old Mutual Market Sensitivity

Old Mutual returns are very sensitive to returns on the market. As market goes up or down, Old Mutual is expected to follow.
One Month Beta |Analyze Old Mutual US Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = 0.9047
Old Mutual llmost one BetaOld Mutual US Beta Legend

Old Mutual US 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.

Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual has beta of 0.9047 suggesting Old Mutual US Dividend U1 GBP Acc market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Old Mutual is expected to follow. Moreover, Old Mutual US Dividend U1 GBP Acc has an alpha of 0.415 implying that it can potentially generate 0.415% 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 1468.71. The daily returns are destributed with a variance of 5.1 and standard deviation of 2.26. The mean deviation of Old Mutual US Dividend U1 GBP Acc is currently at 1.54. For similar time horizon, the selected benchmark (DOW) has volatility of 0.62
α
Alpha over DOW
=0.41
β
Beta against DOW=0.90
σ
Overall volatility
=2.26
Ir
Information ratio =0.22

Actual Return Volatility

Old Mutual US Dividend U1 GBP Acc accepts 2.2584% volatility on return distribution over the 30 days horizon. DOW inherits 0.5886% 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 2.26 and is 3.83 times more volatile than DOW. 20% 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 20 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual US Dividend U1 GBP Acc to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Old Mutual to be traded at p;1673.1 in 30 days. Old Mutual returns are very sensitive to returns on the market. As market goes up or down, Old Mutual is expected to follow.

Old Mutual correlation with market

Weak 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.
Additionally see Investing Opportunities. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.