Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F00000W0DO -- Ireland Fund  

EUR 13.81  0.22  1.57%

Macroaxis considers Old Mutual to be unknown risk. Old Mutual World maintains Sharpe Ratio (i.e. Efficiency) of -0.5 which implies Old Mutual World had -0.5% 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 World 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 World Coefficient Of Variation of 449.07 and Risk Adjusted Performance of 0.1092 to confirm risk estimate we provide.
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 = -0.5708
Old Mutual Almost negative betaOld Mutual World Beta Legend

Old Mutual World Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual World Equity A EUR Acc has beta of -0.5708 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 0.5766 implying that it can potentially generate 0.5766% 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 -200.0. The daily returns are destributed with a variance of 0.33 and standard deviation of 0.57. The mean deviation of Old Mutual World Equity A EUR Acc is currently at 0.43. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.58
β
Beta against DOW=0.57
σ
Overall volatility
=0.57
Ir
Information ratio =0.14

Old Mutual Return Volatility

Old Mutual World Equity A EUR Acc accepts 0.5727% volatility on return distribution over the 30 days horizon. DOW inherits 0.4529% 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

Old Mutual World Equity A EUR Acc has a volatility of 0.57 and is 1.27 times more volatile than DOW. 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 protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Old Mutual to be traded at €13.4 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.

Old Mutual Volatility Indicators

Old Mutual World Equity A EUR Acc Current Risk Indicators

Additionally see Investing Opportunities. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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