Mercer Low (Ireland) Risk Analysis And Volatility Evaluation

IE00B9C9FR91 -- Ireland Fund  

GBp 15,793  268.00  1.67%

Our philosophy towards estimating 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 Mercer Low which you can use to evaluate future volatility of the organization. Please verify Mercer Low Volatility Equity M 5 Hdg Mean Deviation of 0.4345 and Risk Adjusted Performance of 0.2547 to check out if risk estimate we provide are consistent with the epected return of 0.0%.
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 = -0.003
Mercer Low Almost negative betaMercer Low Volatility Beta Legend

Mercer Low Volatility Technical Analysis

Transformation
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Mercer Low Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Low Volatility Equity M 5 Hdg has beta of -0.003 . 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 0.157 implying that it can potentially generate 0.157% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.16
β
Beta against DOW=0.003
σ
Overall volatility
=0.00
Ir
Information ratio =0.0091

Mercer Low Return Volatility

Mercer Low Volatility Equity M 5 Hdg accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2393% 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

Insignificant

Investment Outlook

Mercer Low Investment Opportunity

DOW has a standard deviation of returns of 1.24 and is 9.223372036854776E16 times more volatile than Mercer Low Volatility Equity M 5 Hdg. 0% 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 0 (%) of all global equities and portfolios over the last 30 days.

Mercer Low Volatility Indicators

Mercer Low Volatility Equity M 5 Hdg Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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