Old Mutual (Ireland) Risk Analysis And Volatility

F00000WAKU -- Ireland Fund  

EUR 10.61  0.00  0.00%

Our philosophy towards forecasting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Old Mutual AR which you can use to evaluate future volatility of the fund. Please check Old Mutual AR Coefficient Of Variation of 4021.1 and Risk Adjusted Performance of (0.045431) to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
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.
2 Months Beta |Analyze Old Mutual AR Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = -0.0177

Old Mutual Central Daily Price Deviation

Old Mutual AR Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual AR Govt Bd F EUR Hgd Acc has beta of -0.0177 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 AR Govt Bd F EUR Hgd Acc is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Old Mutual AR is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0064
β
Beta against DOW=0.02
σ
Overall volatility
=0.00
Ir
Information ratio =0.28

Old Mutual Return Volatility

the fund accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 1.981% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

Old Mutual Investment Opportunity

DOW has a standard deviation of returns of 1.98 and is 9.223372036854776E16 times more volatile than Old Mutual AR Govt Bd F EUR Hgd Acc. 0% 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 AR Govt Bd F EUR Hgd Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual AR Govt Bd F EUR Hgd Acc to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Old Mutual to be traded at €10.5 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

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual AR Govt Bd F EUR Hg and equity matching DJI index in the same portfolio.

Old Mutual Volatility Indicators

Old Mutual AR Govt Bd F EUR Hgd Acc Current Risk Indicators

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