Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

IE00BYVJRD56 -- Ireland Fund  

USD 11.73  0.14  1.21%

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. We have found twenty-one technical indicators for Old Mutual Gold which you can use to evaluate future volatility of the fund. Please check Old Mutual Gold Coefficient Of Variation of 908.05 and Risk Adjusted Performance of 0.043116 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
 Time Horizon     30 Days    Login   to change

Old Mutual Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Old Mutual will likely underperform.
One Month Beta |Analyze Old Mutual Gold Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = 1.2077
Old Mutual Large BetaOld Mutual Gold Beta Legend

Old Mutual Gold Technical Analysis

Transformation
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Projected Return Density Against Market

Assuming 30 trading days horizon, the fund has beta coefficient of 1.2077 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Old Mutual will likely underperform. Additionally, Old Mutual Gold Silver I USD 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 
α
Alpha over DOW
=0.19
β
Beta against DOW=1.21
σ
Overall volatility
=0.00
Ir
Information ratio =0.12

Actual Return Volatility

Old Mutual Gold Silver I USD Acc accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 0.4314% 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
DOW has a standard deviation of returns of 0.43 and is 9.223372036854776E16 times more volatile than Old Mutual Gold Silver I USD Acc. 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 Gold Silver I USD Acc is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Gold Silver I USD Acc to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Old Mutual to be traded at $12.9 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Old Mutual will likely underperform.

Old Mutual correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Old Mutual Gold Silver I USD A and equity matching DJI index in the same portfolio.
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