Sanlam FOUR (Ireland) Risk Analysis And Volatility Evaluation

IE00BZ0Y8793 -- Ireland Fund  

GBp 1,027  4.00  0.39%

Macroaxis considers Sanlam FOUR to be unknown risk. Sanlam FOUR Multi owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5 which indicates Sanlam FOUR Multi had -0.5% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Sanlam FOUR Multi Strat GBP A exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sanlam FOUR Semi Deviation of 1.85, Coefficient Of Variation of 670.02 and Risk Adjusted Performance of 0.2162 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Sanlam FOUR Market Sensitivity

As returns on market increase, returns on owning Sanlam FOUR are expected to decrease by larger amounts. On the other hand, during market turmoil, Sanlam FOUR is expected to significantly outperform it.
2 Months Beta |Analyze Sanlam FOUR Multi Demand Trend
Check current 30 days Sanlam FOUR correlation with market (DOW)
β = -39.1177

Sanlam FOUR Central Daily Price Deviation

Sanlam FOUR Multi Technical Analysis

Transformation
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Sanlam FOUR Projected Return Density Against Market

Assuming 30 trading days horizon, Sanlam FOUR Multi Strat GBP A has beta of -39.1177 . This indicates as returns on its benchmark rise, returns on holding Sanlam FOUR Multi Strat GBP A are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Sanlam FOUR is expected to outperform its benchmark. In addition to that, Sanlam FOUR Multi Strat GBP A has an alpha of 218.2946 implying that it can potentially generate 218.2946% 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 Sanlam FOUR is -200.0. The daily returns are destributed with a variance of 0.28 and standard deviation of 0.53. The mean deviation of Sanlam FOUR Multi Strat GBP A is currently at 0.4. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=218.29
β
Beta against DOW=39.12
σ
Overall volatility
=0.53
Ir
Information ratio =0.15

Sanlam FOUR Return Volatility

Sanlam FOUR Multi Strat GBP A accepts 0.5299% volatility on return distribution over the 30 days horizon. DOW inherits 1.3037% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sanlam FOUR Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Sanlam FOUR Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 2.45 times more volatile than Sanlam FOUR Multi Strat GBP A. 4% of all equities and portfolios are less risky than Sanlam FOUR. Compared to the overall equity markets, volatility of historical daily returns of Sanlam FOUR Multi Strat GBP A is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Sanlam FOUR Multi Strat GBP A to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Sanlam FOUR to be traded at p;1016.73 in 30 days. As returns on market increase, returns on owning Sanlam FOUR are expected to decrease by larger amounts. On the other hand, during market turmoil, Sanlam FOUR is expected to significantly outperform it.

Sanlam FOUR correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sanlam FOUR Multi Strat GBP A and equity matching DJI index in the same portfolio.

Sanlam FOUR Volatility Indicators

Sanlam FOUR Multi Strat GBP A Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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