Mercer Global (Ireland) Risk Analysis And Volatility

IE00BWZMSB19 -- Ireland Fund  

USD 122.64  2.16  0.02%

Macroaxis considers Mercer Global unknown risk given 2 months investment horizon. Mercer Global Small has Sharpe Ratio of 0.1012 which conveys that the entity had 0.1012% of return per unit of risk over the last 2 months. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By analyzing Mercer Global Small technical indicators you can presently evaluate if the expected return of 0.6202% is justified by implied risk. Please exercise Mercer Global Small Cap Equity M 8 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Mercer Global Small Technical Analysis

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Mercer Global Projected Return Density Against Market

Assuming 30 trading days horizon, Mercer Global has beta of 0.0 . This indicates the returns on DOW and Mercer Global do not appear to be sensitive. Furthermore, It does not look like the company alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Assuming 30 trading days horizon, the coefficient of variation of Mercer Global is 988.23. The daily returns are destributed with a variance of 37.56 and standard deviation of 6.13. The mean deviation of Mercer Global Small Cap Equity M 8 is currently at 3.7. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.00

Mercer Global Return Volatility

the fund accepts 6.1289% volatility on return distribution over the 30 days horizon. the entity inherits 1.981% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Mercer Global Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity


Investment Outlook

Mercer Global Investment Opportunity

Mercer Global Small Cap Equity M 8 has a volatility of 6.13 and is 3.1 times more volatile than DOW. 55% of all equities and portfolios are less risky than Mercer Global. Compared to the overall equity markets, volatility of historical daily returns of Mercer Global Small Cap Equity M 8 is higher than 55 (%) of all global equities and portfolios over the last 30 days.

Mercer Global Volatility Indicators

Mercer Global Small Cap Equity M 8 Current Risk Indicators

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