Sanlam FOUR (Ireland) Risk Analysis And Volatility Evaluation

F00000T35N -- Ireland Fund  

USD 13.26  0.04  0.30%

Macroaxis considers Sanlam FOUR to be unknown risk. Sanlam FOUR Stable owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2363 which indicates Sanlam FOUR Stable had -0.2363% of return per unit of risk over the last 2 months. 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 FOUR Stable Global Eq A USD 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 FOUR Coefficient Of Variation of (552.70) and Risk Adjusted Performance of (0.35) to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Sanlam FOUR Market Sensitivity

As returns on market increase, returns on owning Sanlam FOUR are expected to decrease at a much smaller rate. During bear market, Sanlam FOUR is likely to outperform the market.
2 Months Beta |Analyze Sanlam FOUR Stable Demand Trend
Check current 30 days Sanlam FOUR correlation with market (DOW)
β = -0.0044

Sanlam FOUR Central Daily Price Deviation

Sanlam FOUR Stable Technical Analysis

Transformation
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Sanlam FOUR Projected Return Density Against Market

Assuming 30 trading days horizon, Sanlam FOUR Stable Global Eq A USD Acc has beta of -0.0044 suggesting as returns on benchmark increase, returns on holding Sanlam FOUR are expected to decrease at a much smaller rate. During bear market, however, Sanlam FOUR Stable Global Eq A USD Acc is likely to outperform the market. Additionally, Sanlam FOUR Stable Global Eq A USD 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 Sanlam FOUR is -423.25. The daily returns are destributed with a variance of 3.49 and standard deviation of 1.87. The mean deviation of Sanlam FOUR Stable Global Eq A USD Acc is currently at 1.36. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.03
β
Beta against DOW=0.0044
σ
Overall volatility
=1.87
Ir
Information ratio =0.84

Sanlam FOUR Return Volatility

Sanlam FOUR Stable Global Eq A USD Acc accepts 1.8694% volatility on return distribution over the 30 days horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sanlam FOUR Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Sanlam FOUR Investment Opportunity

Sanlam FOUR Stable Global Eq A USD Acc has a volatility of 1.87 and is 1.45 times more volatile than DOW. 16% of all equities and portfolios are less risky than Sanlam FOUR. Compared to the overall equity markets, volatility of historical daily returns of Sanlam FOUR Stable Global Eq A USD Acc is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Sanlam FOUR Stable Global Eq A USD Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Sanlam FOUR to be traded at $13.13 in 30 days. As returns on market increase, returns on owning Sanlam FOUR are expected to decrease at a much smaller rate. During bear market, Sanlam FOUR is likely to outperform the market.

Sanlam FOUR correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sanlam FOUR Stable Global Eq A and equity matching DJI index in the same portfolio.

Sanlam FOUR Volatility Indicators

Sanlam FOUR Stable Global Eq A USD Acc Current Risk Indicators

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