Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000SJT0 -- Ireland Fund  

GBp 1,133  22.00  1.90%

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 (253.21) and Risk Adjusted Performance of (0.54) to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
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.
2 Months Beta |Analyze Old Mutual Local Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = -0.0166

Old Mutual Central Daily Price Deviation

Old Mutual Local Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual Local Ccy EM Dbt U2 GBP Acc has beta of -0.0166 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 Local Ccy EM Dbt U2 GBP Acc is likely to outperform the market. 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 
α
Alpha over DOW
=0.69
β
Beta against DOW=0.02
σ
Overall volatility
=0.00
Ir
Information ratio =0.3

Old Mutual Return Volatility

Old Mutual Local Ccy EM Dbt U2 GBP Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.3037% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Old Mutual Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Old Mutual Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 9.223372036854776E16 times more volatile than Old Mutual Local Ccy EM Dbt U2 GBP Acc. 0% 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 0 (%) 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 somewhat bearish sentiment, but market may correct it shortly. Check odds of Old Mutual to be traded at p;1099.01 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

correlation synergy
Good 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.

Old Mutual Volatility Indicators

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

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