Macroaxis considers Old Mutual to be unknown risk. Old Mutual Eurp maintains Sharpe Ratio (i.e. Efficiency) of -0.5774 which implies Old Mutual Eurp had -0.5774% of return per unit of risk over the last 2 months. Macroaxis philosophy towards forecasting 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. Old Mutual Eurp exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Old Mutual Eurp Coefficient Of Variation of
(383.17) and Risk Adjusted Performance of (0.51) to confirm risk estimate we provide.
|Horizon||30 Days Login to change|
Old Mutual Market Sensitivity
|As returns on market increase, Old Mutual returns are expected to increase less than the market. However during bear market, the loss on holding Old Mutual will be expected to be smaller as well. 2 Months Beta |Analyze Old Mutual Eurp Demand TrendCheck current 30 days Old Mutual correlation with market (DOW)|
β = 0.0129
Old Mutual Central Daily Price Deviation
Old Mutual Eurp Technical Analysis
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Old Mutual Projected Return Density Against MarketAssuming 30 trading days horizon, Old Mutual has beta of 0.0129 . This indicates as returns on market go up, Old Mutual average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Old Mutual Eurp Ex UK Smlr Coms U1 Acc will be expected to be much smaller as well. Additionally, Old Mutual Eurp Ex UK Smlr Coms U1 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
Assuming 30 trading days horizon, the coefficient of variation of Old Mutual is -173.21. The daily returns are destributed with a variance of 4.23 and standard deviation of 2.06. The mean deviation of Old Mutual Eurp Ex UK Smlr Coms U1 Acc is currently at 1.58. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
|Alpha over DOW||=||0.58|
|Beta against DOW||=||0.0129|
Old Mutual Return VolatilityOld Mutual Eurp Ex UK Smlr Coms U1 Acc accepts 2.0562% volatility on return distribution over the 30 days horizon. DOW inherits 2.0235% risk (volatility on return distribution) over the 30 days horizon.
Old Mutual Eurp Ex UK Smlr Coms U1 Acc has a volatility of 2.06 and is 1.02 times more volatile than DOW. 18% of all equities and portfolios are less risky than Old Mutual. Compared to the overall equity markets, volatility of historical daily returns of Old Mutual Eurp Ex UK Smlr Coms U1 Acc is lower than 18 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Eurp Ex UK Smlr Coms U1 Acc to protect your portfolios against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Old Mutual to be traded at $9.88 in 30 days. . As returns on market increase, Old Mutual returns are expected to increase less than the market. However during bear market, the loss on holding Old Mutual will be expected to be smaller as well.
Old Mutual correlation with market