Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000TG3D -- Ireland Fund  

EUR 1.39  0.00  0.00%

Our philosophy towards forecasting volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Old Mutual Global which you can use to evaluate future volatility of the fund. Please check Old Mutual Global Coefficient Of Variation of 785.57 and Risk Adjusted Performance of 0.05 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
 Time 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 = -0.0912
Old Mutual Almost negative betaOld Mutual Global Beta Legend

Old Mutual Global Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual Global Eq AR A Hgd Acc has beta of -0.0912 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 
α
Alpha over DOW
=0.12
β
Beta against DOW=0.09
σ
Overall volatility
=0.00
Ir
Information ratio =0.14

Actual Return Volatility

Old Mutual Global Eq AR A Hgd Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.4566% 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

Unaffected

Investment Outlook

Old Mutual Investment Opportunity
DOW has a standard deviation of returns of 0.46 and is 9.223372036854776E16 times more volatile than Old Mutual Global Eq AR A Hgd 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 Global Eq AR A Hgd Acc is lower than 0 (%) 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 €1.3761 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

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.
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