Mercer Passive (Ireland) Risk Analysis And Volatility Evaluation

IE00BL0R9M20 -- Ireland Fund  

GBp 14,317  232.00  1.59%

We consider Mercer Passive unknown risk. Mercer Passive Global has Sharpe Ratio of 0.0438 which conveys that Mercer Passive Global had 0.0438% 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 fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Mercer Passive which you can use to evaluate future volatility of the organization. Please verify Mercer Passive Global Eq CCF M to check out if risk estimate we provide are consistent with the epected return of 0.0328%.
Horizon     30 Days    Login   to change

Mercer Passive Global Technical Analysis

Transformation
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Mercer Passive Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Passive has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Mercer Passive are completely uncorrelated. Furthermore, Mercer Passive Global Eq CCF MIt does not look like Mercer Passive alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Mercer Passive is 2280.64. The daily returns are destributed with a variance of 0.56 and standard deviation of 0.75. The mean deviation of Mercer Passive Global Eq CCF M is currently at 0.41. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.75
Ir
Information ratio =0.00

Mercer Passive Return Volatility

Mercer Passive Global Eq CCF M accepts 0.7481% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mercer Passive Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Mercer Passive Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.41 times more volatile than Mercer Passive Global Eq CCF M. 6% of all equities and portfolios are less risky than Mercer Passive. Compared to the overall equity markets, volatility of historical daily returns of Mercer Passive Global Eq CCF M is lower than 6 (%) of all global equities and portfolios over the last 30 days.

Mercer Passive Volatility Indicators

Mercer Passive Global Eq CCF M Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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