Sanlam Managed (Ireland) Risk Analysis And Volatility Evaluation

Macroaxis considers Sanlam Managed to be unknown risk. Sanlam Managed Risk owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.4258 which indicates Sanlam Managed Risk had -0.4258% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Sanlam Managed Risk I GBP Acc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sanlam Managed Coefficient Of Variation of 55377.13 and Risk Adjusted Performance of 0.01 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Sanlam Managed Risk Technical Analysis

Transformation
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Sanlam Managed Projected Return Density Against Market

Assuming 30 trading days horizon, Sanlam Managed has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Sanlam Managed are completely uncorrelated. Furthermore, Sanlam Managed Risk I GBP AccIt does not look like Sanlam Managed alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Sanlam Managed is -234.83. The daily returns are destributed with a variance of 13.03 and standard deviation of 3.61. The mean deviation of Sanlam Managed Risk I GBP Acc is currently at 2.69. 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
=3.61
Ir
Information ratio =0.00

Sanlam Managed Return Volatility

Sanlam Managed Risk I GBP Acc accepts 3.6093% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
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Investment Outlook

Sanlam Managed Investment Opportunity

Sanlam Managed Risk I GBP Acc has a volatility of 3.61 and is 3.54 times more volatile than DOW. 32% 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 32 (%) of all global equities and portfolios over the last 30 days.

Sanlam Managed Volatility Indicators

Sanlam Managed Risk I GBP Acc Current Risk Indicators

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