Sanlam BIFM (Ireland) Risk Analysis And Volatility Evaluation

IE00BFPMK726 -- Ireland Fund  

USD 1.22  0.01  0.83%

Macroaxis considers Sanlam BIFM unknown risk given 1 month investment horizon. Sanlam BIFM World owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.9944 which indicates Sanlam BIFM World had 0.9944% 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 fund specific technical indicators that cannot be diversified away. By inspecting Sanlam BIFM World technical indicators you can presently evaluate if the expected return of 0.8357% is justified by implied risk. Please operate Sanlam BIFM Coefficient Of Variation of 2329.14 and Risk Adjusted Performance of 0.0266 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Sanlam BIFM Market Sensitivity

As returns on market increase, Sanlam BIFM returns are expected to increase less than the market. However during bear market, the loss on holding Sanlam BIFM will be expected to be smaller as well.
One Month Beta |Analyze Sanlam BIFM World Demand Trend
Check current 30 days Sanlam BIFM correlation with market (DOW)
β = 0.3649
Sanlam BIFM Small BetaSanlam BIFM World Beta Legend

Sanlam BIFM World Technical Analysis

Transformation
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Sanlam BIFM Projected Return Density Against Market

Assuming 30 trading days horizon, Sanlam BIFM has beta of 0.3649 . This indicates as returns on market go up, Sanlam BIFM average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Sanlam BIFM World Equity A USD Acc will be expected to be much smaller as well. Additionally, Sanlam BIFM World Equity A USD Acc 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 BIFM is 100.56. The daily returns are destributed with a variance of 0.71 and standard deviation of 0.84. The mean deviation of Sanlam BIFM World Equity A USD Acc is currently at 0.56. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0044
β
Beta against DOW=0.36
σ
Overall volatility
=0.84
Ir
Information ratio =0.07

Sanlam BIFM Return Volatility

Sanlam BIFM World Equity A USD Acc accepts 0.8404% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sanlam BIFM Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Sanlam BIFM Investment Opportunity

Sanlam BIFM World Equity A USD Acc has a volatility of 0.84 and is 1.87 times more volatile than DOW. 7% of all equities and portfolios are less risky than Sanlam BIFM. Compared to the overall equity markets, volatility of historical daily returns of Sanlam BIFM World Equity A USD Acc is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Sanlam BIFM World Equity A USD Acc to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Sanlam BIFM to be traded at $1.342 in 30 days. As returns on market increase, Sanlam BIFM returns are expected to increase less than the market. However during bear market, the loss on holding Sanlam BIFM will be expected to be smaller as well.

Sanlam BIFM correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sanlam BIFM World Equity A USD and equity matching DJI index in the same portfolio.

Sanlam BIFM Volatility Indicators

Sanlam BIFM World Equity A USD Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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