Mercer Passive (Ireland) Risk Analysis And Volatility Evaluation

IE00BL0R9M20 -- Ireland Fund  

GBp 13,200  2.00  0.0151%

Macroaxis considers Mercer Passive to be unknown risk. Mercer Passive Global has Sharpe Ratio of -0.5861 which conveys that Mercer Passive Global had -0.5861% of return per unit of risk over the last 2 months. Macroaxis philosophy towards estimating risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Mercer Passive exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Mercer Passive Global Eq CCF M to check out risk estimate we provide.
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 -170.63. The daily returns are destributed with a variance of 1.02 and standard deviation of 1.01. The mean deviation of Mercer Passive Global Eq CCF M is currently at 0.71. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.01
Ir
Information ratio =0.00

Mercer Passive Return Volatility

Mercer Passive Global Eq CCF M accepts 1.0087% volatility on return distribution over the 30 days horizon. DOW inherits 1.3487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mercer Passive Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Mercer Passive Investment Opportunity

DOW has a standard deviation of returns of 1.35 and is 1.34 times more volatile than Mercer Passive Global Eq CCF M. 9% 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 9 (%) 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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