Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

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 Coefficient Of Variation of 653.8 and Risk Adjusted Performance of 0.1923 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, 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 = 0.4021

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 has beta of 0.4021 . 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 R will be expected to be much smaller as well. Moreover, Old Mutual Eurp Ex UK Smlr Coms R has an alpha of 0.4243 implying that it can potentially generate 0.4243% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.42
β
Beta against DOW=0.40
σ
Overall volatility
=0.00
Ir
Information ratio =0.18

Old Mutual Return Volatility

Old Mutual Eurp Ex UK Smlr Coms R accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.225% 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

DOW has a standard deviation of returns of 1.23 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 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, 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

correlation synergy
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 R Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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