Sanlam BIFM (Ireland) Risk Analysis And Volatility Evaluation

IE00BFPMK726 -- Ireland Fund  

USD 1.21  0.00  0.00%

Our philosophy towards measuring 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 Sanlam BIFM World Equity A USD Acc which you can use to evaluate future volatility of the fund. Please validate Sanlam BIFM Coefficient Of Variation of 397.65 and Risk Adjusted Performance of 0.1592 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
 Time Horizon     30 Days    Login   to change

Sanlam BIFM Market Sensitivity

As returns on market increase, returns on owning Sanlam BIFM are expected to decrease at a much smaller rate. During bear market, Sanlam BIFM is likely to outperform the market.
One Month Beta |Analyze Sanlam BIFM World Demand Trend
Check current 30 days Sanlam BIFM correlation with market (DOW)
β = -0.2246
Sanlam BIFM Almost negative betaSanlam BIFM World Beta Legend

Sanlam BIFM World Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, Sanlam BIFM World Equity A USD Acc has beta of -0.2246 . This indicates as returns on benchmark increase, returns on holding Sanlam BIFM are expected to decrease at a much smaller rate. During bear market, however, Sanlam BIFM World Equity A USD Acc is likely to outperform the market. Moreover, Sanlam BIFM World Equity A USD Acc has an alpha of 0.5864 implying that it can potentially generate 0.5864% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.59
β
Beta against DOW=0.22
σ
Overall volatility
=0.00
Ir
Information ratio =0.19

Actual Return Volatility

Sanlam BIFM World Equity A USD Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.6387% 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
DOW has a standard deviation of returns of 0.64 and is 9.223372036854776E16 times more volatile than Sanlam BIFM World Equity A USD Acc. 0% 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 0 (%) of all global equities and portfolios over the last 30 days. Use Sanlam BIFM World Equity A USD Acc to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Sanlam BIFM to be traded at $1.1979 in 30 days. As returns on market increase, returns on owning Sanlam BIFM are expected to decrease at a much smaller rate. During bear market, Sanlam BIFM is likely to outperform the market.

Sanlam BIFM correlation with market

Good 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.
Please also check Risk vs Return Analysis. Please also try Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. drill down to check world indexes.