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
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Mercer Passive Projected Return Density Against MarketAssuming 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
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
|Alpha over DOW||=||0.00|
|Beta against DOW||=||0.00|
Mercer Passive Return VolatilityMercer 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.
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.