SBI Magnum (India) Risk Analysis And Volatility Evaluation

103024 -- India Fund  

INR 218.23  1.83  0.85%

Macroaxis considers SBI Magnum unknown risk given 1 month investment horizon. SBI Magnum Multiplier owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5774 which indicates SBI Magnum Multiplier had 0.5774% of return per unit of volatility over the last 1 month. Our way of measuring 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 SBI Magnum Multiplier Fund Reg Gr which you can use to evaluate future volatility of the entity. Please operate SBI Magnum Risk Adjusted Performance of 0.046492 and Market Risk Adjusted Performance of 0.15 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

SBI Magnum Market Sensitivity

As returns on market increase, SBI Magnum returns are expected to increase less than the market. However during bear market, the loss on holding SBI Magnum will be expected to be smaller as well.
One Month Beta |Analyze SBI Magnum Multiplier Demand Trend
Check current 30 days SBI Magnum correlation with market (DOW)
β = 0.4415
SBI Magnum Small BetaSBI Magnum Multiplier Beta Legend

SBI Magnum Multiplier Technical Analysis

Transformation
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SBI Magnum Projected Return Density Against Market

Assuming 30 trading days horizon, SBI Magnum has beta of 0.4415 . This suggests as returns on market go up, SBI Magnum average returns are expected to increase less than the benchmark. However during bear market, the loss on holding SBI Magnum Multiplier Fund Reg Gr will be expected to be much smaller as well. Additionally, SBI Magnum Multiplier Fund Reg Gr 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 SBI Magnum is 173.21. The daily returns are destributed with a variance of 0.24 and standard deviation of 0.49. The mean deviation of SBI Magnum Multiplier Fund Reg Gr is currently at 0.38. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.14
β
Beta against DOW=0.44
σ
Overall volatility
=0.49
Ir
Information ratio =0.41

SBI Magnum Return Volatility

SBI Magnum Multiplier Fund Reg Gr accepts 0.4883% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SBI Magnum Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

SBI Magnum Investment Opportunity

SBI Magnum Multiplier Fund Reg Gr has a volatility of 0.49 and is 1.09 times more volatile than DOW. 4% of all equities and portfolios are less risky than SBI Magnum. Compared to the overall equity markets, volatility of historical daily returns of SBI Magnum Multiplier Fund Reg Gr is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use SBI Magnum Multiplier Fund Reg Gr to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of SBI Magnum to be traded at 240.05 in 30 days. As returns on market increase, SBI Magnum returns are expected to increase less than the market. However during bear market, the loss on holding SBI Magnum will be expected to be smaller as well.

SBI Magnum correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding SBI Magnum Multiplier Fund Reg and equity matching DJI index in the same portfolio.

SBI Magnum Volatility Indicators

SBI Magnum Multiplier Fund Reg Gr Current Risk Indicators

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