Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000SJT0 -- Ireland Fund  

GBp 1,194  6.00  0.50%

Macroaxis considers Old Mutual to be unknown risk. Old Mutual Local maintains Sharpe Ratio (i.e. Efficiency) of -0.0501 which implies Old Mutual Local had -0.0501% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Old Mutual Local exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Old Mutual Local Coefficient Of Variation of 358.18 and Risk Adjusted Performance of 0.12 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Old Mutual Market Sensitivity

As returns on market increase, Old Mutual returns are expected to increase less than the market. However during bear market, the loss on holding Old Mutual will be expected to be smaller as well.
One Month Beta |Analyze Old Mutual Local Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = 0.3356
Old Mutual Small BetaOld Mutual Local Beta Legend

Old Mutual Local Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual has beta of 0.3356 suggesting as returns on market go up, Old Mutual average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Old Mutual Local Ccy EM Dbt U2 GBP Acc will be expected to be much smaller as well. Additionally, Old Mutual Local Ccy EM Dbt U2 GBP Acc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Old Mutual is -1994.31. The daily returns are destributed with a variance of 0.11 and standard deviation of 0.33. The mean deviation of Old Mutual Local Ccy EM Dbt U2 GBP Acc is currently at 0.19. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.46
β
Beta against DOW=0.34
σ
Overall volatility
=0.33
Ir
Information ratio =0.36

Actual Return Volatility

Old Mutual Local Ccy EM Dbt U2 GBP Acc accepts 0.3255% volatility on return distribution over the 30 days horizon. DOW inherits 0.5701% 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
DOW has a standard deviation of returns of 0.57 and is 1.73 times more volatile than Old Mutual Local Ccy EM Dbt U2 GBP Acc. 2% 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 2 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Local Ccy EM Dbt U2 GBP Acc to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Old Mutual to be traded at p;1170.12 in 30 days. As returns on market increase, Old Mutual returns are expected to increase less than the market. However during bear market, the loss on holding Old Mutual will be expected to be smaller as well.

Old Mutual correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual Local Ccy EM Dbt U2 and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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