Sanlam FOUR (Ireland) Risk Analysis And Volatility Evaluation

IE00B5M48M23 -- Ireland Fund  

GBp 1,801  40.00  2.27%

Macroaxis considers Sanlam FOUR unknown risk given 1 month investment horizon. Sanlam FOUR Global owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.4213 which indicates Sanlam FOUR Global had 0.4213% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 Sanlam FOUR Global Equity A GBP which you can use to evaluate future volatility of the fund. Please operate Sanlam FOUR to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Sanlam FOUR Global Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Sanlam FOUR has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Sanlam FOUR are completely uncorrelated. Furthermore, Sanlam FOUR Global Equity A GBPIt does not look like Sanlam FOUR alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Sanlam FOUR is 237.38. The daily returns are destributed with a variance of 0.54 and standard deviation of 0.74. The mean deviation of Sanlam FOUR Global Equity A GBP is currently at 0.46. For similar time horizon, the selected benchmark (DOW) has volatility of 0.56
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.74
Ir
Information ratio =0.00

Actual Return Volatility

Sanlam FOUR Global Equity A GBP accepts 0.7381% volatility on return distribution over the 30 days horizon. DOW inherits 0.5506% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sanlam FOUR Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Sanlam FOUR Investment Opportunity
Sanlam FOUR Global Equity A GBP has a volatility of 0.74 and is 1.35 times more volatile than DOW. 6% of all equities and portfolios are less risky than Sanlam FOUR. Compared to the overall equity markets, volatility of historical daily returns of Sanlam FOUR Global Equity A GBP is lower than 6 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Sanlam FOUR Current Risk Indicators
Please also check Risk vs Return Analysis. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.