Sanlam FOUR (Ireland) Risk Analysis And Volatility Evaluation

IE00BZ0Y8793 -- Ireland Fund  

GBp 1,051  8.00  0.76%

Macroaxis considers Sanlam FOUR to be unknown risk. Sanlam FOUR Multi owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2364 which indicates Sanlam FOUR Multi had -0.2364% of return per unit of risk over the last 1 month. 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 Coefficient Of Variation of 469.04 and Risk Adjusted Performance of 0.23 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Sanlam FOUR Market Sensitivity

As returns on market increase, returns on owning Sanlam FOUR are expected to decrease at a much smaller rate. During bear market, Sanlam FOUR is likely to outperform the market.
One Month Beta |Analyze Sanlam FOUR Multi Demand Trend
Check current 30 days Sanlam FOUR correlation with market (DOW)
β = -0.0158
Sanlam FOUR Almost negative betaSanlam FOUR Multi Beta Legend

Sanlam FOUR Multi 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, Sanlam FOUR Multi Strat GBP A has beta of -0.0158 . This indicates as returns on benchmark increase, returns on holding Sanlam FOUR are expected to decrease at a much smaller rate. During bear market, however, Sanlam FOUR Multi Strat GBP A is likely to outperform the market. Additionally, Sanlam FOUR Multi Strat GBP A 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 Sanlam FOUR is -423.02. The daily returns are destributed with a variance of 0.22 and standard deviation of 0.46. The mean deviation of Sanlam FOUR Multi Strat GBP A is currently at 0.3. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49
α
Alpha over DOW
=0.02
β
Beta against DOW=0.02
σ
Overall volatility
=0.46
Ir
Information ratio =1.99

Actual Return Volatility

Sanlam FOUR Multi Strat GBP A accepts 0.4639% volatility on return distribution over the 30 days horizon. DOW inherits 0.5654% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sanlam FOUR Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Sanlam FOUR Investment Opportunity
DOW has a standard deviation of returns of 0.57 and is 1.24 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 moderate downward daily trend and can be a good diversifier. Check odds of Sanlam FOUR to be traded at p;1029.98 in 30 days. As returns on market increase, returns on owning Sanlam FOUR are expected to decrease at a much smaller rate. During bear market, Sanlam FOUR is likely to outperform the market.

Sanlam FOUR correlation with market

Very 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.

Volatility Indicators

Sanlam FOUR Current Risk Indicators
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