Old Mutual (Ireland) Risk Analysis And Volatility Evaluation

IE00BYVJRD56 -- Ireland Fund  

USD 10.19  0.04  0.39%

Macroaxis considers Old Mutual unknown risk given 1 month investment horizon. Old Mutual Gold maintains Sharpe Ratio (i.e. Efficiency) of 0.5 which implies Old Mutual Gold had 0.5% 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 fund specific technical indicators that cannot be diversified away. By analyzing Old Mutual Gold technical indicators you can presently evaluate if the expected return of 0.5261% is justified by implied risk. Please employ Old Mutual Gold Coefficient Of Variation of 459.36 and Risk Adjusted Performance of 0.22 to confirm if our risk estimates are consistent with your expectations.
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 Gold Demand Trend
Check current 30 days Old Mutual correlation with market (DOW)
β = 0.0066
Old Mutual Small BetaOld Mutual Gold Beta Legend

Old Mutual Gold Technical Analysis

Transformation
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Old Mutual Projected Return Density Against Market

Assuming 30 trading days horizon, Old Mutual has beta of 0.0066 . 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 Gold Silver I USD Acc will be expected to be much smaller as well. 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 
Assuming 30 trading days horizon, the coefficient of variation of Old Mutual is 200.0. The daily returns are destributed with a variance of 1.11 and standard deviation of 1.05. The mean deviation of Old Mutual Gold Silver I USD Acc is currently at 0.79. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.29
β
Beta against DOW=0.0066
σ
Overall volatility
=1.05
Ir
Information ratio =0.11

Old Mutual Return Volatility

Old Mutual Gold Silver I USD Acc accepts 1.0521% volatility on return distribution over the 30 days horizon. DOW inherits 1.023% 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

Old Mutual Gold Silver I USD Acc has a volatility of 1.05 and is 1.03 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 Gold Silver I USD Acc is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Old Mutual Gold Silver I USD Acc to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Old Mutual to be traded at $10.09 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

Significant 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.

Old Mutual Volatility Indicators

Old Mutual Gold Silver I USD Acc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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