Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000VCH1 -- Ireland Fund  

GBp 1,093  4.00  0.37%

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 1095.94 and Risk Adjusted Performance of 0.0506 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, Old Mutual returns are expected to increase less than the market. However during bear market, the loss on holding Old Mutual will be expected to be smaller as well.
One Month Beta |Analyze Old Mutual Global Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = 0.1016
Old Mutual Small 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 has beta of 0.1016 suggesting as returns on market go up, Old Mutual average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Old Mutual Global Bond U1 GBP will be expected to be much smaller as well. Moreover, Old Mutual Global Bond U1 GBP has an alpha of 0.0321 implying that it can potentially generate 0.0321% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0321
β
Beta against DOW=0.10
σ
Overall volatility
=0.00
Ir
Information ratio =0.03

Actual Return Volatility

Old Mutual Global Bond U1 GBP accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.5506% 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 0.55 and is 9.223372036854776E16 times more volatile than Old Mutual Global Bond U1 GBP. 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 Bond U1 GBP is lower than 0 (%) 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 normal upward fluctuation. Check odds of Old Mutual to be traded at p;1147.65 in 30 days. As returns on market increase, Old Mutual returns are expected to increase less than the market. However during bear market, the loss on holding Old Mutual will be expected to be smaller as well.

Old Mutual correlation with market

Significant 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.

Volatility Indicators

Old Mutual Current Risk Indicators
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