Mercer Passive (Ireland) Risk Analysis And Volatility Evaluation

F00000V1GM -- Ireland Fund  

EUR 131.88  2.38  1.77%

Macroaxis considers Mercer Passive to be unknown risk. Mercer Passive Global has Sharpe Ratio of -0.3059 which conveys that Mercer Passive Global had -0.3059% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Mercer Passive exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Mercer Passive Global Eq CCF M Mean Deviation of 0.3786 and Risk Adjusted Performance of 0.1343 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Mercer Passive Market Sensitivity

As returns on market increase, Mercer Passive returns are expected to increase less than the market. However during bear market, the loss on holding Mercer Passive will be expected to be smaller as well.
One Month Beta |Analyze Mercer Passive Global Demand Trend
Check current 30 days Mercer Passive correlation with market (DOW)
β = 0.1277
Mercer Passive Small BetaMercer Passive Global Beta Legend

Mercer Passive Global Technical Analysis

Transformation
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Mercer Passive Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Passive has beta of 0.1277 suggesting as returns on market go up, Mercer Passive average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Mercer Passive Global Eq CCF M will be expected to be much smaller as well. Moreover, Mercer Passive Global Eq CCF M has an alpha of 0.1092 implying that it can potentially generate 0.1092% 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 -326.91. The daily returns are destributed with a variance of 1.55 and standard deviation of 1.25. The mean deviation of Mercer Passive Global Eq CCF M is currently at 0.93. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.11
β
Beta against DOW=0.13
σ
Overall volatility
=1.25
Ir
Information ratio =0.04

Mercer Passive Return Volatility

Mercer Passive Global Eq CCF M accepts 1.2457% volatility on return distribution over the 30 days horizon. DOW inherits 0.4541% 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

Mercer Passive Global Eq CCF M has a volatility of 1.25 and is 2.78 times more volatile than DOW. 11% 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 11 (%) 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 somewhat bearish sentiment, but market may correct it shortly. Check odds of Mercer Passive to be traded at €127.92 in 30 days. As returns on market increase, Mercer Passive returns are expected to increase less than the market. However during bear market, the loss on holding Mercer Passive will be expected to be smaller as well.

Mercer Passive correlation with market

Average 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.

Mercer Passive Volatility Indicators

Mercer Passive Global Eq CCF M Current Risk Indicators

Additionally see Investing Opportunities. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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