Mercer Low (Ireland) Risk Analysis And Volatility Evaluation

IE00B9C9FR91 -- Ireland Fund  

GBp 15,771  80.00  0.51%

Macroaxis considers Mercer Low unknown risk given 1 month investment horizon. Mercer Low Volatility has Sharpe Ratio of 0.3709 which conveys that Mercer Low Volatility had 0.3709% of return per unit of risk over the last 1 month. Our philosophy towards estimating 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 Mercer Low which you can use to evaluate future volatility of the organization. Please exercise Mercer Low Volatility Equity M 5 Hdg Mean Deviation of 0.4307 and Risk Adjusted Performance of 0.1052 to check out if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Mercer Low Market Sensitivity

As returns on market increase, returns on owning Mercer Low are expected to decrease at a much smaller rate. During bear market, Mercer Low is likely to outperform the market.
One Month Beta |Analyze Mercer Low Volatility Demand Trend
Check current 30 days Mercer Low correlation with market (DOW)
β = -0.1035
Mercer Low Almost negative betaMercer Low Volatility Beta Legend

Mercer Low Volatility Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Low Volatility Equity M 5 Hdg has beta of -0.1035 . This indicates as returns on benchmark increase, returns on holding Mercer Low are expected to decrease at a much smaller rate. During bear market, however, Mercer Low Volatility Equity M 5 Hdg is likely to outperform the market. Moreover, Mercer Low Volatility Equity M 5 Hdg has an alpha of 0.1777 implying that it can potentially generate 0.1777% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Mercer Low is 269.59. The daily returns are destributed with a variance of 0.34 and standard deviation of 0.58. The mean deviation of Mercer Low Volatility Equity M 5 Hdg is currently at 0.47. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.18
β
Beta against DOW=0.1
σ
Overall volatility
=0.58
Ir
Information ratio =0.07

Actual Return Volatility

Mercer Low Volatility Equity M 5 Hdg accepts 0.5821% volatility on return distribution over the 30 days horizon. DOW inherits 0.5115% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mercer Low Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Mercer Low Investment Opportunity
Mercer Low Volatility Equity M 5 Hdg has a volatility of 0.58 and is 1.14 times more volatile than DOW. 5% of all equities and portfolios are less risky than Mercer Low. Compared to the overall equity markets, volatility of historical daily returns of Mercer Low Volatility Equity M 5 Hdg is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use Mercer Low Volatility Equity M 5 Hdg to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Mercer Low to be traded at p;17348.1 in 30 days. As returns on market increase, returns on owning Mercer Low are expected to decrease at a much smaller rate. During bear market, Mercer Low is likely to outperform the market.

Mercer Low correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Mercer Low Volatility Equity M and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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