Sanlam FOUR (Ireland) Risk Analysis And Volatility Evaluation

IE00B5M48M23 -- Ireland Fund  

GBp 1,781  5.00  0.28%

Macroaxis considers Sanlam FOUR to be unknown risk. Sanlam FOUR Global owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.4082 which indicates Sanlam FOUR Global had -0.4082% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Sanlam FOUR Global Equity A GBP exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sanlam FOUR to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Sanlam FOUR Global Technical Analysis

Transformation
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Sanlam FOUR 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 -244.95. The daily returns are destributed with a variance of 0.21 and standard deviation of 0.45. The mean deviation of Sanlam FOUR Global Equity A GBP is currently at 0.31. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.45
Ir
Information ratio =0.00

Sanlam FOUR Return Volatility

Sanlam FOUR Global Equity A GBP accepts 0.4534% volatility on return distribution over the 30 days horizon. DOW inherits 1.0618% 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

Insignificant

Investment Outlook

Sanlam FOUR Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 2.36 times more volatile than Sanlam FOUR Global Equity A GBP. 4% 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 4 (%) of all global equities and portfolios over the last 30 days.

Sanlam FOUR Volatility Indicators

Sanlam FOUR Global Equity A GBP Current Risk Indicators

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