Mercer Passive (Ireland) Risk Analysis And Volatility Evaluation

Macroaxis considers Mercer Passive unknown risk given 1 month investment horizon. Mercer Passive Global has Sharpe Ratio of 0.5774 which conveys that Mercer Passive Global had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards estimating 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 Mercer Passive which you can use to evaluate future volatility of the organization. Please exercise Mercer Passive Global Eq CCF M Mean Deviation of 0.2721 and Risk Adjusted Performance of 0.00026985 to check out if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Mercer Passive Market Sensitivity

As returns on market increase, returns on owning Mercer Passive are expected to decrease at a much smaller rate. During bear market, Mercer Passive is likely to outperform the market.
One Month Beta |Analyze Mercer Passive Global Demand Trend
Check current 30 days Mercer Passive correlation with market (DOW)
β = -0.0874
Mercer Passive Almost negative betaMercer Passive Global Beta Legend

Mercer Passive Global Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Passive Global Eq CCF M has beta of -0.0874 suggesting as returns on benchmark increase, returns on holding Mercer Passive are expected to decrease at a much smaller rate. During bear market, however, Mercer Passive Global Eq CCF M is likely to outperform the market. Moreover, Mercer Passive Global Eq CCF M has an alpha of 0.0019 implying that it can potentially generate 0.0019% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Mercer Passive is 173.21. The daily returns are destributed with a variance of 0.16 and standard deviation of 0.4. The mean deviation of Mercer Passive Global Eq CCF M is currently at 0.31. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.0019
β
Beta against DOW=0.09
σ
Overall volatility
=0.40
Ir
Information ratio =0.26

Actual Return Volatility

Mercer Passive Global Eq CCF M accepts 0.4018% volatility on return distribution over the 30 days horizon. DOW inherits 0.5855% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mercer Passive Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Mercer Passive Investment Opportunity
DOW has a standard deviation of returns of 0.59 and is 1.48 times more volatile than Mercer Passive Global Eq CCF M. 3% of all equities and portfolios are less risky than Mercer Passive. Compared to the overall equity markets, volatility of historical daily returns of Mercer Passive Global Eq CCF M is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use Mercer Passive Global Eq CCF M to protect against small markets fluctuations. The fund experiences very speculative upward sentiment.. Check odds of Mercer Passive to be traded at €0.0 in 30 days. As returns on market increase, returns on owning Mercer Passive are expected to decrease at a much smaller rate. During bear market, Mercer Passive is likely to outperform the market.

Mercer Passive correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Mercer Passive Global Eq CCF M and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Coins and Tokens Correlation module to utilize digital token correlation table to build portfolio of cryptocurrencies across multiple exchanges.
vendors/bower_components/jquery.easy-pie-chart/dist/jquery.easypiechart.min.js">