Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

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 company 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 543.43 and Risk Adjusted Performance of 0.0858 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
 Time Horizon     30 Days    Login   to change

Old Mutual Market Sensitivity

As returns on market increase, Old Mutual returns are expected to increase less than the market. However during bear market, the loss on holding Old Mutual will be expected to be smaller as well.
One Month Beta |Analyze Old Mutual AR Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = 0.0041
Old Mutual Small BetaOld Mutual AR Beta Legend

Old Mutual AR Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual has beta of 0.0041 suggesting as returns on market go up, Old Mutual average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Old Mutual AR Govt Bd F EUR Hgd Acc will be expected to be much smaller as well. Moreover, Old Mutual AR Govt Bd F EUR Hgd Acc has an alpha of 0.029 implying that it can potentially generate 0.029% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.029
β
Beta against DOW=0.0041
σ
Overall volatility
=0.00
Ir
Information ratio =0.33

Actual Return Volatility

Old Mutual AR Govt Bd F EUR Hgd Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.5516% 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 0.55 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 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, Old Mutual returns are expected to increase less than the market. However during bear market, the loss on holding Old Mutual will be expected to be smaller as well.

Old Mutual correlation with market

Significant 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.

Volatility Indicators

Old Mutual Current Risk Indicators
Additionally see Investing Opportunities. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.