Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000W0DO -- Ireland Fund  

EUR 13.64  0.14  1.04%

Macroaxis considers Old Mutual unknown risk given 1 month investment horizon. Old Mutual World maintains Sharpe Ratio (i.e. Efficiency) of 0.5774 which implies Old Mutual World had 0.5774% of return per unit of risk over the last 1 month. 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 World which you can use to evaluate future volatility of the fund. Please employ Old Mutual World Coefficient Of Variation of 357.36 and Risk Adjusted Performance of 0.1765 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Old Mutual Market Sensitivity

As returns on market increase, returns on owning Old Mutual are expected to decrease at a much smaller rate. During bear market, Old Mutual is likely to outperform the market.
One Month Beta |Analyze Old Mutual World Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = -0.3875
Old Mutual Almost negative betaOld Mutual World Beta Legend

Old Mutual World Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual World Equity A EUR Acc has beta of -0.3875 suggesting as returns on benchmark increase, returns on holding Old Mutual are expected to decrease at a much smaller rate. During bear market, however, Old Mutual World Equity A EUR Acc is likely to outperform the market. Moreover, Old Mutual World Equity A EUR Acc has an alpha of 0.5977 implying that it can potentially generate 0.5977% 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 173.21. The daily returns are destributed with a variance of 0.36 and standard deviation of 0.6. The mean deviation of Old Mutual World Equity A EUR Acc is currently at 0.46. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.60
β
Beta against DOW=0.39
σ
Overall volatility
=0.60
Ir
Information ratio =0.21

Actual Return Volatility

Old Mutual World Equity A EUR Acc accepts 0.5987% volatility on return distribution over the 30 days horizon. DOW inherits 0.63% 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 0.63 and is 1.05 times more volatile than Old Mutual World Equity A EUR Acc. 5% 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 World Equity A EUR Acc is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual World Equity A EUR Acc to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Old Mutual to be traded at €15.0 in 30 days. As returns on market increase, returns on owning Old Mutual are expected to decrease at a much smaller rate. During bear market, Old Mutual is likely to outperform the market.

Old Mutual correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual World Equity A EUR and equity matching DJI index in the same portfolio.
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