Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000VCH1 -- Ireland Fund  

GBp 1,064  10.00  0.95%

Macroaxis considers Old Mutual unknown risk given 2 months investment horizon. Old Mutual Global maintains Sharpe Ratio (i.e. Efficiency) of 0.8636 which implies Old Mutual Global had 0.8636% of return per unit of risk over the last 2 months. Our philosophy towards forecasting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By analyzing Old Mutual Global technical indicators you can presently evaluate if the expected return of 0.5009% is justified by implied risk. Please employ Old Mutual Global Coefficient Of Variation of 879.83, Semi Deviation of 0.3299 and Risk Adjusted Performance of 0.1404 to confirm if our risk estimates are consistent with your expectations.
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.
2 Months Beta |Analyze Old Mutual Global Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = -0.0622

Old Mutual Central Daily Price Deviation

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 Bond U1 GBP has beta of -0.0622 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 Bond U1 GBP is likely to outperform the market. Moreover, Old Mutual Global Bond U1 GBP has an alpha of 0.0374 implying that it can potentially generate 0.0374% 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 Old Mutual is 115.79. The daily returns are destributed with a variance of 0.34 and standard deviation of 0.58. The mean deviation of Old Mutual Global Bond U1 GBP is currently at 0.5. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.0374
β
Beta against DOW=0.06
σ
Overall volatility
=0.58
Ir
Information ratio =0.45

Old Mutual Return Volatility

Old Mutual Global Bond U1 GBP accepts 0.58% volatility on return distribution over the 30 days horizon. DOW inherits 1.3286% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Old Mutual Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Old Mutual Investment Opportunity

DOW has a standard deviation of returns of 1.33 and is 2.29 times more volatile than Old Mutual Global Bond U1 GBP. 5% 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 Bond U1 GBP is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Global Bond U1 GBP to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Old Mutual to be traded at p;1170.4 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

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual Global Bond U1 GBP and equity matching DJI index in the same portfolio.

Old Mutual Volatility Indicators

Old Mutual Global Bond U1 GBP Current Risk Indicators

Additionally see Investing Opportunities. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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