Mercer Passive (Ireland) Risk Analysis And Volatility Evaluation

F00000VZHB -- Ireland Fund  

GBp 15,460  215.00  1.41%

Mercer Passive is unknown risk given 2 months investment horizon. Mercer Passive Global has Sharpe Ratio of 0.4981 which conveys that Mercer Passive Global had 0.4981% of return per unit of risk over the last 2 months. Our philosophy towards estimating risk of a fund is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.8593% are justified by taking the suggested risk. Use Mercer Passive Global Mean Deviation of 1.23 and Risk Adjusted Performance of 0.4063 to evaluate company specific risk that cannot be diversified away.
Horizon     30 Days    Login   to change

Mercer Passive Market Sensitivity

As returns on market increase, returns on owning Mercer Passive are expected to decrease at a much smaller rate. During bear market, Mercer Passive is likely to outperform the market.
2 Months Beta |Analyze Mercer Passive Global Demand Trend
Check current 30 days Mercer Passive correlation with market (DOW)
β = -0.0771

Mercer Passive Central Daily Price Deviation

Mercer Passive Global Technical Analysis

Transformation
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Mercer Passive Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Passive Global Equity Z 1 has beta of -0.0771 suggesting as returns on benchmark increase, returns on holding Mercer Passive are expected to decrease at a much smaller rate. During bear market, however, Mercer Passive Global Equity Z 1 is likely to outperform the market. Moreover, Mercer Passive Global Equity Z 1 has an alpha of 0.5387 implying that it can potentially generate 0.5387% 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 200.75. The daily returns are destributed with a variance of 13.93 and standard deviation of 3.73. The mean deviation of Mercer Passive Global Equity Z 1 is currently at 2.8. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.54
β
Beta against DOW=0.08
σ
Overall volatility
=3.73
Ir
Information ratio =0.37

Mercer Passive Return Volatility

Mercer Passive Global Equity Z 1 accepts 3.7325% volatility on return distribution over the 30 days horizon. DOW inherits 1.3081% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mercer Passive Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Mercer Passive Investment Opportunity

Mercer Passive Global Equity Z 1 has a volatility of 3.73 and is 2.85 times more volatile than DOW. 33% 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 33 (%) of all global equities and portfolios over the last 30 days. Use Mercer Passive Global Equity Z 1 to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Mercer Passive to be traded at p;17006.0 in 30 days. As returns on market increase, returns on owning Mercer Passive are expected to decrease at a much smaller rate. During bear market, Mercer Passive is likely to outperform the market.

Mercer Passive correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Mercer Passive Global Equity Z and equity matching DJI index in the same portfolio.

Mercer Passive Volatility Indicators

Mercer Passive Global Equity Z 1 Current Risk Indicators

Additionally see Investing Opportunities. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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