Macroaxis considers Old Mutual to be unknown risk. Old Mutual Pacific maintains Sharpe Ratio (i.e. Efficiency) of -0.8576 which implies Old Mutual Pacific had -0.8576% of return per unit of risk over the last 2 months. 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 Pacific 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 Pacific Coefficient Of Variation of
(519.85) and Risk Adjusted Performance of (0.38) 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. 2 Months Beta |Analyze Old Mutual Pacific Demand TrendCheck current 30 days Old Mutual correlation with market (DOW)|
β = -0.038
Old Mutual Central Daily Price Deviation
Old Mutual Pacific Technical Analysis
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.
Old Mutual Projected Return Density Against MarketAssuming 30 trading days horizon, Old Mutual Pacific Equity B USD Acc has beta of -0.038 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 Pacific Equity B USD Acc is likely to outperform the market. 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
Assuming 30 trading days horizon, the coefficient of variation of Old Mutual is -116.61. The daily returns are destributed with a variance of 1.99 and standard deviation of 1.41. The mean deviation of Old Mutual Pacific Equity B USD Acc is currently at 1.21. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
|Alpha over DOW||=||0.27|
|Beta against DOW||=||0.04|
Old Mutual Return VolatilityOld Mutual Pacific Equity B USD Acc accepts 1.409% volatility on return distribution over the 30 days horizon. DOW inherits 2.026% risk (volatility on return distribution) over the 30 days horizon.
DOW has a standard deviation of returns of 2.03 and is 1.44 times more volatile than Old Mutual Pacific Equity B USD Acc. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Pacific Equity B USD Acc to protect your portfolios 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 $32.69 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