Kotak Classic (India) Risk Analysis And Volatility Evaluation

103039 -- India Fund  

INR 18.66  0.26  1.37%

Macroaxis considers Kotak Classic to be unknown risk. Kotak Classic Equity has Sharpe Ratio of -0.5774 which conveys that Kotak Classic Equity had -0.5774% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Kotak Classic exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Kotak Classic Equity Reg Div Mean Deviation of 3.36 and Risk Adjusted Performance of 0.59 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Kotak Classic Market Sensitivity

As returns on market increase, Kotak Classic returns are expected to increase less than the market. However during bear market, the loss on holding Kotak Classic will be expected to be smaller as well.
One Month Beta |Analyze Kotak Classic Equity Demand Trend
Check current 30 days Kotak Classic correlation with market (DOW)
β = 0.3536

Kotak Classic Central Daily Price Deviation

Kotak Classic Equity Technical Analysis

Transformation
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Kotak Classic Projected Return Density Against Market

Assuming 30 trading days horizon, Kotak Classic has beta of 0.3536 . This suggests as returns on market go up, Kotak Classic average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Kotak Classic Equity Reg Div will be expected to be much smaller as well. Additionally, Kotak Classic Equity Reg Div 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 Kotak Classic is -173.21. The daily returns are destributed with a variance of 0.18 and standard deviation of 0.43. The mean deviation of Kotak Classic Equity Reg Div is currently at 0.33. For similar time horizon, the selected benchmark (DOW) has volatility of 1.2
α
Alpha over DOW
=2.26
β
Beta against DOW=0.35
σ
Overall volatility
=0.43
Ir
Information ratio =0.5

Kotak Classic Return Volatility

Kotak Classic Equity Reg Div accepts 0.43% volatility on return distribution over the 30 days horizon. DOW inherits 1.2197% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Kotak Classic Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Kotak Classic Investment Opportunity

DOW has a standard deviation of returns of 1.22 and is 2.84 times more volatile than Kotak Classic Equity Reg Div. 3% of all equities and portfolios are less risky than Kotak Classic. Compared to the overall equity markets, volatility of historical daily returns of Kotak Classic Equity Reg Div is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use Kotak Classic Equity Reg Div to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Kotak Classic to be traded at 18.1 in 30 days. As returns on market increase, Kotak Classic returns are expected to increase less than the market. However during bear market, the loss on holding Kotak Classic will be expected to be smaller as well.

Kotak Classic correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Kotak Classic Equity Reg Div and equity matching DJI index in the same portfolio.

Kotak Classic Volatility Indicators

Kotak Classic Equity Reg Div Current Risk Indicators

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