Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

F0GBR05AFP -- Ireland Fund  

USD 40.31  0.70  1.71%

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 Pacific which you can use to evaluate future volatility of the fund. Please check Old Mutual Pacific Coefficient Of Variation of 1,239 and Risk Adjusted Performance of 0.05 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 Pacific Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = 0.1743
Old Mutual Small BetaOld Mutual Pacific Beta Legend

Old Mutual Pacific Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual has beta of 0.1743 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 Pacific Equity B USD Acc will be expected to be much smaller as well. Additionally, Old Mutual Pacific Equity B USD Acc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.04
β
Beta against DOW=0.17
σ
Overall volatility
=0.00
Ir
Information ratio =0.36

Actual Return Volatility

Old Mutual Pacific Equity B USD Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.5525% 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 Pacific Equity B USD 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 Pacific Equity B USD Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Pacific Equity B USD 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 $39.1 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

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual Pacific Equity B US and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.