DHFL Pramerica (India) Risk Analysis And Volatility Evaluation

101627 -- India Fund  

INR 32.64  0.00  0.00%

We consider DHFL Pramerica unknown risk. DHFL Pramerica Sht secures Sharpe Ratio (or Efficiency) of 0.6768 which denotes DHFL Pramerica Sht had 0.6768% of return per unit of return volatility over the last 2 months. Our approach into predicting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for DHFL Pramerica Sht Mty Gr which you can use to evaluate future volatility of the entity. Please confirm DHFL Pramerica Sht Mean Deviation of 0.1128 to check if risk estimate we provide are consistent with the epected return of 0.1772%.
Horizon     30 Days    Login   to change

DHFL Pramerica Market Sensitivity

As returns on market increase, returns on owning DHFL Pramerica are expected to decrease at a much smaller rate. During bear market, DHFL Pramerica is likely to outperform the market.
2 Months Beta |Analyze DHFL Pramerica Sht Demand Trend
Check current 30 days DHFL Pramerica correlation with market (DOW)
β = -0.011

DHFL Pramerica Central Daily Price Deviation

DHFL Pramerica Sht 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.

DHFL Pramerica Projected Return Density Against Market

Assuming 30 trading days horizon, DHFL Pramerica Sht Mty Gr has beta of -0.011 . This suggests as returns on benchmark increase, returns on holding DHFL Pramerica are expected to decrease at a much smaller rate. During bear market, however, DHFL Pramerica Sht Mty Gr is likely to outperform the market. Moreover, DHFL Pramerica Sht Mty Gr has an alpha of 0.0766 implying that it can potentially generate 0.0766% 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 DHFL Pramerica is 147.76. The daily returns are destributed with a variance of 0.07 and standard deviation of 0.26. The mean deviation of DHFL Pramerica Sht Mty Gr is currently at 0.19. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.08
β
Beta against DOW=0.01
σ
Overall volatility
=0.26
Ir
Information ratio =1.24

DHFL Pramerica Return Volatility

DHFL Pramerica Sht Mty Gr accepts 0.2618% volatility on return distribution over the 30 days horizon. DOW inherits 1.2829% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

DHFL Pramerica Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

DHFL Pramerica Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 4.92 times more volatile than DHFL Pramerica Sht Mty Gr. 2% of all equities and portfolios are less risky than DHFL Pramerica. Compared to the overall equity markets, volatility of historical daily returns of DHFL Pramerica Sht Mty Gr is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use DHFL Pramerica Sht Mty Gr to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of DHFL Pramerica to be traded at 32.31 in 30 days. As returns on market increase, returns on owning DHFL Pramerica are expected to decrease at a much smaller rate. During bear market, DHFL Pramerica is likely to outperform the market.

DHFL Pramerica correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding DHFL Pramerica Sht Mty Gr and equity matching DJI index in the same portfolio.

DHFL Pramerica Volatility Indicators

DHFL Pramerica Sht Mty Gr Current Risk Indicators

Check also Trending Equities. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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