Sanlam Managed (Ireland) Risk Analysis And Volatility Evaluation

IE00B94Q3K76 -- Ireland Fund  

GBp 121.00  1.00  0.83%

Macroaxis considers Sanlam Managed unknown risk given 2 months investment horizon. Sanlam Managed Risk owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5774 which indicates Sanlam Managed Risk had 0.5774% of return per unit of risk over the last 2 months. Our philosophy towards measuring volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Sanlam Managed Risk A GBP which you can use to evaluate future volatility of the fund. Please operate Sanlam Managed Coefficient Of Variation of 30716.67 and Risk Adjusted Performance of (0.006467) to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Sanlam Managed Market Sensitivity

As returns on market increase, returns on owning Sanlam Managed are expected to decrease at a much smaller rate. During bear market, Sanlam Managed is likely to outperform the market.
2 Months Beta |Analyze Sanlam Managed Risk Demand Trend
Check current 30 days Sanlam Managed correlation with market (DOW)
β = -0.0594

Sanlam Managed Central Daily Price Deviation

Sanlam Managed Risk Technical Analysis

Transformation
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Sanlam Managed Projected Return Density Against Market

Assuming 30 trading days horizon, Sanlam Managed Risk A GBP has beta of -0.0594 . This indicates as returns on benchmark increase, returns on holding Sanlam Managed are expected to decrease at a much smaller rate. During bear market, however, Sanlam Managed Risk A GBP is likely to outperform the market. Additionally, Sanlam Managed Risk A GBP 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 
Assuming 30 trading days horizon, the coefficient of variation of Sanlam Managed is 173.21. The daily returns are destributed with a variance of 0.23 and standard deviation of 0.48. The mean deviation of Sanlam Managed Risk A GBP is currently at 0.37. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.02
β
Beta against DOW=0.06
σ
Overall volatility
=0.48
Ir
Information ratio =0.27

Sanlam Managed Return Volatility

Sanlam Managed Risk A GBP accepts 0.4811% volatility on return distribution over the 30 days horizon. DOW inherits 1.3286% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sanlam Managed Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Sanlam Managed Investment Opportunity

DOW has a standard deviation of returns of 1.33 and is 2.77 times more volatile than Sanlam Managed Risk A GBP. 4% of all equities and portfolios are less risky than Sanlam Managed. Compared to the overall equity markets, volatility of historical daily returns of Sanlam Managed Risk A GBP is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Sanlam Managed Risk A GBP to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Sanlam Managed to be traded at p;133.1 in 30 days. As returns on market increase, returns on owning Sanlam Managed are expected to decrease at a much smaller rate. During bear market, Sanlam Managed is likely to outperform the market.

Sanlam Managed correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sanlam Managed Risk A GBP Inc and equity matching DJI index in the same portfolio.

Sanlam Managed Volatility Indicators

Sanlam Managed Risk A GBP Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.
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