Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000TG3D -- Ireland Fund  

EUR 1.34  0.00  0.00%

Macroaxis considers Old Mutual to be unknown risk. Old Mutual Global maintains Sharpe Ratio (i.e. Efficiency) of -0.2136 which implies Old Mutual Global had -0.2136% 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 Global 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 Global Coefficient Of Variation of 332.42 and Risk Adjusted Performance of 0.34 to confirm risk estimate we provide.
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.
One Month Beta |Analyze Old Mutual Global Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = -0.1387
Old Mutual Almost negative betaOld Mutual Global Beta Legend

Old Mutual Global Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual Global Eq AR A Hgd Acc has beta of -0.1387 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 Global Eq AR A Hgd Acc is likely to outperform the market. Additionally, Old Mutual Global Eq AR A Hgd 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 -468.16. The daily returns are destributed with a variance of 0.72 and standard deviation of 0.85. The mean deviation of Old Mutual Global Eq AR A Hgd Acc is currently at 0.5. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.2
β
Beta against DOW=0.14
σ
Overall volatility
=0.85
Ir
Information ratio =0.0025

Old Mutual Return Volatility

Old Mutual Global Eq AR A Hgd Acc accepts 0.8512% volatility on return distribution over the 30 days horizon. DOW inherits 1.088% 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

Insignificant

Investment Outlook

Old Mutual Investment Opportunity

DOW has a standard deviation of returns of 1.09 and is 1.28 times more volatile than Old Mutual Global Eq AR A Hgd Acc. 7% 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 Global Eq AR A Hgd Acc is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Global Eq AR A Hgd Acc to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Old Mutual to be traded at €1.3266 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

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual Global Eq AR A Hgd and equity matching DJI index in the same portfolio.

Old Mutual Volatility Indicators

Old Mutual Global Eq AR A Hgd Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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