Mercer Global (Ireland) Risk Analysis And Volatility Evaluation

IE00BG3F0N65 -- Ireland Fund  

GBp 12,178  176.00  1.42%

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 Global which you can use to evaluate future volatility of the organization. Please verify Mercer Global High Yield Bond M 5 Acc Mean Deviation of 0.72 and Risk Adjusted Performance of 0.0078 to check out if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Mercer Global Market Sensitivity

As returns on market increase, Mercer Global returns are expected to increase less than the market. However during bear market, the loss on holding Mercer Global will be expected to be smaller as well.
One Month Beta |Analyze Mercer Global High Demand Trend
Check current 30 days Mercer Global correlation with market (DOW)
β = 0.2694
Mercer Global Small BetaMercer Global High Beta Legend

Mercer Global High Technical Analysis

Transformation
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Mercer Global Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Global has beta of 0.2694 . This indicates as returns on market go up, Mercer Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Mercer Global High Yield Bond M 5 Acc will be expected to be much smaller as well. Additionally, Mercer Global High Yield Bond M 5 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 
α
Alpha over DOW
=0.04
β
Beta against DOW=0.27
σ
Overall volatility
=0.00
Ir
Information ratio =0.15

Mercer Global Return Volatility

Mercer Global High Yield Bond M 5 Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.4303% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mercer Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Mercer Global Investment Opportunity

DOW has a standard deviation of returns of 0.43 and is 9.223372036854776E16 times more volatile than Mercer Global High Yield Bond M 5 Acc. 0% of all equities and portfolios are less risky than Mercer Global. Compared to the overall equity markets, volatility of historical daily returns of Mercer Global High Yield Bond M 5 Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Mercer Global High Yield Bond M 5 Acc to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Mercer Global to be traded at p;11812.66 in 30 days. As returns on market increase, Mercer Global returns are expected to increase less than the market. However during bear market, the loss on holding Mercer Global will be expected to be smaller as well.

Mercer Global correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Mercer Global High Yield Bond and equity matching DJI index in the same portfolio.

Mercer Global Volatility Indicators

Mercer Global High Yield Bond M 5 Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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