Sanlam Managed (Ireland) Risk Analysis And Volatility Evaluation

F00000SS4B -- Ireland Fund  

 121.00  4.00  3.20%

Our philosophy towards measuring 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 Sanlam Managed Risk I GBP Acc which you can use to evaluate future volatility of the fund. Please validate Sanlam Managed Coefficient Of Variation of 55377.13 and Risk Adjusted Performance of (0.018839) to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Sanlam Managed Market Sensitivity

As returns on market increase, returns on owning Sanlam Managed are expected to decrease at a much smaller rate. During bear market, Sanlam Managed is likely to outperform the market.
2 Months Beta |Analyze Sanlam Managed Risk Demand Trend
Check current 30 days Sanlam Managed correlation with market (DOW)
β = -0.0866

Sanlam Managed Central Daily Price Deviation

Sanlam Managed Risk Technical Analysis

Transformation
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Sanlam Managed Projected Return Density Against Market

Assuming 30 trading days horizon, Sanlam Managed Risk I GBP Acc has beta of -0.0866 suggesting as returns on benchmark increase, returns on holding Sanlam Managed are expected to decrease at a much smaller rate. During bear market, however, Sanlam Managed Risk I GBP Acc is likely to outperform the market. Additionally, Sanlam Managed Risk I 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
=0.02
β
Beta against DOW=0.09
σ
Overall volatility
=0.00
Ir
Information ratio =0.26

Sanlam Managed Return Volatility

Sanlam Managed Risk I GBP Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2918% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

Sanlam Managed Investment Opportunity

DOW has a standard deviation of returns of 1.29 and is 9.223372036854776E16 times more volatile than Sanlam Managed Risk I GBP Acc. 0% of all equities and portfolios are less risky than Sanlam Managed. Compared to the overall equity markets, volatility of historical daily returns of Sanlam Managed Risk I GBP Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Sanlam Managed Risk I GBP Acc to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Sanlam Managed to be traded at 116.16 in 30 days. As returns on market increase, returns on owning Sanlam Managed are expected to decrease at a much smaller rate. During bear market, Sanlam Managed is likely to outperform the market.

Sanlam Managed correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sanlam Managed Risk I GBP Acc and equity matching DJI index in the same portfolio.

Sanlam Managed Volatility Indicators

Sanlam Managed Risk I GBP Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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