Mercer Passive (Ireland) Risk Analysis And Volatility Evaluation

F00000VZHC -- Ireland Fund  

EUR 121.56  1.16  0.96%

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. We have found twenty-one technical indicators for Mercer Passive which you can use to evaluate future volatility of the organization. Please verify Mercer Passive Global Equity M 5 Mean Deviation of 0.1605 and Risk Adjusted Performance of 0.2272 to check out if risk estimate we provide are consistent with the epected return of 0.0%.
 Time 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.
One Month Beta |Analyze Mercer Passive Global Demand Trend
Check current 30 days Mercer Passive correlation with market (DOW)
β = -0.0101
Mercer Passive Almost negative betaMercer Passive Global Beta Legend

Mercer Passive Global Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Passive Global Equity M 5 has beta of -0.0101 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 M 5 is likely to outperform the market. Moreover, Mercer Passive Global Equity M 5 has an alpha of 0.087 implying that it can potentially generate 0.087% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.09
β
Beta against DOW=0.01
σ
Overall volatility
=0.00
Ir
Information ratio =0.12

Actual Return Volatility

Mercer Passive Global Equity M 5 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.6629% 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
DOW has a standard deviation of returns of 0.66 and is 9.223372036854776E16 times more volatile than Mercer Passive Global Equity M 5. 0% 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 M 5 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Mercer Passive Global Equity M 5 to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Mercer Passive to be traded at €133.72 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

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Mercer Passive Global Equity M and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.