Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

IE00BRTNQV11 -- Ireland Fund  

GBp 1,701  35.00  2.10%

Macroaxis considers Old Mutual unknown risk given 1 month investment horizon. Old Mutual Eurp maintains Sharpe Ratio (i.e. Efficiency) of 0.8394 which implies Old Mutual Eurp had 0.8394% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing Old Mutual Eurp technical indicators you can presently evaluate if the expected return of 0.8906% is justified by implied risk. Please employ Old Mutual Eurp Coefficient Of Variation of 438.83 and Risk Adjusted Performance of 0.1167 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Old Mutual Market Sensitivity

Old Mutual returns are very sensitive to returns on the market. As market goes up or down, Old Mutual is expected to follow.
One Month Beta |Analyze Old Mutual Eurp Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = 1.0917
Old Mutual llmost one BetaOld Mutual Eurp Beta Legend

Old Mutual Eurp Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Assuming 30 trading days horizon, the fund has beta coefficient of 1.0917 . This indicates Old Mutual Eurp Ex UK Smlr Coms R market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Old Mutual is expected to follow. Moreover, Old Mutual Eurp Ex UK Smlr Coms R has an alpha of 0.3602 implying that it can potentially generate 0.3602% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Old Mutual is 119.13. The daily returns are destributed with a variance of 1.13 and standard deviation of 1.06. The mean deviation of Old Mutual Eurp Ex UK Smlr Coms R is currently at 0.89. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.36
β
Beta against DOW=1.09
σ
Overall volatility
=1.06
Ir
Information ratio =0.18

Actual Return Volatility

Old Mutual Eurp Ex UK Smlr Coms R accepts 1.061% volatility on return distribution over the 30 days horizon. DOW inherits 0.5804% 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

Unaffected

Investment Outlook

Old Mutual Investment Opportunity
Old Mutual Eurp Ex UK Smlr Coms R has a volatility of 1.06 and is 1.83 times more volatile than DOW. 9% 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 9 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Eurp Ex UK Smlr Coms R to enhance returns of your portfolios. The fund experiences unexpected upward trend. Watch out for market signals. Check odds of Old Mutual to be traded at p;2041.2 in 30 days. Old Mutual returns are very sensitive to returns on the market. As market goes up or down, Old Mutual is expected to follow.

Old Mutual correlation with market

Average 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.
Please also check Risk vs Return Analysis. Please also try Portfolio Quick Import module to import or update all your transactions via one easy-to-use interface.
vendors/bower_components/jquery.easy-pie-chart/dist/jquery.easypiechart.min.js">