Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

IE00BRTNQD39 -- Ireland Fund  

USD 12.92  0.42  3.15%

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 1 month. 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 563.45 and Risk Adjusted Performance of 0.19 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.
One Month Beta |Analyze Old Mutual Eurp Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = 0.6113
Old Mutual Small BetaOld Mutual Eurp Beta Legend

Old Mutual Eurp Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual has beta of 0.6113 . 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 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Old Mutual is -173.21. The daily returns are destributed with a variance of 2.58 and standard deviation of 1.61. The mean deviation of Old Mutual Eurp Ex UK Smlr Coms U1 Acc is currently at 1.24. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.29
β
Beta against DOW=0.61
σ
Overall volatility
=1.61
Ir
Information ratio =0.1

Old Mutual Return Volatility

Old Mutual Eurp Ex UK Smlr Coms U1 Acc accepts 1.6073% volatility on return distribution over the 30 days horizon. DOW inherits 1.0609% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Old Mutual Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Old Mutual Investment Opportunity

Old Mutual Eurp Ex UK Smlr Coms U1 Acc has a volatility of 1.61 and is 1.52 times more volatile than DOW. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Eurp Ex UK Smlr Coms U1 Acc to protect 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 $12.4 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

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual Eurp Ex UK Smlr Com and equity matching DJI index in the same portfolio.

Old Mutual Volatility Indicators

Old Mutual Eurp Ex UK Smlr Coms U1 Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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