Old Mutual (Ireland) Risk Analysis And Volatility

Our philosophy towards forecasting 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 Old Mutual Eurp which you can use to evaluate future volatility of the fund. Please check Old Mutual Eurp Semi Deviation of 1.8, Risk Adjusted Performance of 0.1382 and Coefficient Of Variation of 1292.88 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

Old Mutual Market Sensitivity

As returns on market increase, returns on owning Old Mutual are expected to decrease at a much smaller rate. During bear market, Old Mutual is likely to outperform the market.
2 Months Beta |Analyze Old Mutual Eurp Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = -0.0331

Old Mutual Central Daily Price Deviation

Old Mutual Eurp Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual Eurp Ex UK Smlr Coms R has beta of -0.0331 . This indicates as returns on benchmark increase, returns on holding Old Mutual are expected to decrease at a much smaller rate. During bear market, however, Old Mutual Eurp Ex UK Smlr Coms R is likely to outperform the market. Moreover, The company has an alpha of 0.2058 implying that it can potentially generate 0.2058% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.21
β
Beta against DOW=0.03
σ
Overall volatility
=0.00
Ir
Information ratio =0.02

Old Mutual Return Volatility

the fund accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 1.5467% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Old Mutual Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Old Mutual Investment Opportunity

DOW has a standard deviation of returns of 1.55 and is 9.223372036854776E16 times more volatile than Old Mutual Eurp Ex UK Smlr Coms R. 0% 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 R is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Eurp Ex UK Smlr Coms R to protect your portfolios against small markets fluctuations. The fund experiences very speculative upward sentiment. Check odds of Old Mutual to be traded at p;0.0 in 30 days. . As returns on market increase, returns on owning Old Mutual are expected to decrease at a much smaller rate. During bear market, Old Mutual is likely to outperform the market.

Old Mutual correlation with market

correlation synergy
Good 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 R Current Risk Indicators

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