Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000VCH1 -- Ireland Fund  

GBp 1,041  8.00  0.76%

Macroaxis considers Old Mutual to be unknown risk. Old Mutual Global maintains Sharpe Ratio (i.e. Efficiency) of -0.1471 which implies Old Mutual Global had -0.1471% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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. Old Mutual Global exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Old Mutual Global Coefficient Of Variation of 8829.27, Semi Deviation of 0.3007 and Risk Adjusted Performance of 0.001242 to confirm risk estimate we provide.
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 = 0.0466
Old Mutual Small BetaOld Mutual Global Beta Legend

Old Mutual Global Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual has beta of 0.0466 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 0.0033 implying that it can potentially generate 0.0033% 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 -679.79. The daily returns are destributed with a variance of 8.97 and standard deviation of 2.99. The mean deviation of Old Mutual Global Bond U1 GBP is currently at 2.03. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.0033
β
Beta against DOW=0.0466
σ
Overall volatility
=2.99
Ir
Information ratio =0.36

Old Mutual Return Volatility

Old Mutual Global Bond U1 GBP accepts 2.9946% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% 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

Insignificant

Investment Outlook

Old Mutual Investment Opportunity

Old Mutual Global Bond U1 GBP has a volatility of 2.99 and is 2.82 times more volatile than DOW. 27% 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 27 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Global Bond U1 GBP to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Old Mutual to be traded at p;1020.18 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

Average 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 Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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