Mercer Passive (Ireland) Risk Analysis And Volatility Evaluation

F00000VZHB -- Ireland Fund  

GBp 15,928  368.00  2.37%

Macroaxis considers Mercer Passive unknown risk given 1 month investment horizon. Mercer Passive Global has Sharpe Ratio of 0.4818 which conveys that Mercer Passive Global had 0.4818% 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. By analyzing Mercer Passive Global technical indicators you can presently evaluate if the expected return of 0.5026% is justified by implied risk. Please exercise Mercer Passive Global Equity Z 1 Mean Deviation of 1.2 and Risk Adjusted Performance of 0.01 to check out if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

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 has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Mercer Passive are completely uncorrelated. Furthermore, Mercer Passive Global Equity Z 1It does not look like Mercer Passive alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Mercer Passive is 207.54. The daily returns are destributed with a variance of 1.09 and standard deviation of 1.04. The mean deviation of Mercer Passive Global Equity Z 1 is currently at 0.74. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.04
Ir
Information ratio =0.00

Actual Return Volatility

Mercer Passive Global Equity Z 1 accepts 1.0431% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% 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 Equity Z 1 has a volatility of 1.04 and is 9.223372036854776E16 times more volatile than DOW. 9% 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 Equity Z 1 is lower than 9 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Mercer Passive Current Risk Indicators
Additionally see Investing Opportunities. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.