Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000SJT0 -- Ireland Fund  

GBp 1,161  45.00  4.03%

We consider Old Mutual unknown risk. Old Mutual Local maintains Sharpe Ratio (i.e. Efficiency) of 0.0112 which implies Old Mutual Local had 0.0112% 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 Local which you can use to evaluate future volatility of the fund. Please check Old Mutual Local Coefficient Of Variation of 432.03 and Risk Adjusted Performance of 0.01 to confirm if risk estimate we provide are consistent with the epected return of 0.0313%.
Horizon     30 Days    Login   to change

Old Mutual Local Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Old Mutual are completely uncorrelated. Furthermore, Old Mutual Local Ccy EM Dbt U2 GBP AccIt does not look like Old Mutual alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Old Mutual is 8945.41. The daily returns are destributed with a variance of 7.82 and standard deviation of 2.8. The mean deviation of Old Mutual Local Ccy EM Dbt U2 GBP Acc is currently at 1.6. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=2.80
Ir
Information ratio =0.00

Old Mutual Return Volatility

Old Mutual Local Ccy EM Dbt U2 GBP Acc accepts 2.7963% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% 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 Local Ccy EM Dbt U2 GBP Acc has a volatility of 2.8 and is 6.22 times more volatile than DOW. 25% 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 Local Ccy EM Dbt U2 GBP Acc is lower than 25 (%) of all global equities and portfolios over the last 30 days.

Old Mutual Volatility Indicators

Old Mutual Local Ccy EM Dbt U2 GBP Acc Current Risk Indicators

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