IDFC Gov (India) Risk Analysis And Volatility Evaluation

108646 -- India Fund  

INR 11.32  0.00  0.00%

Macroaxis considers IDFC Gov unknown risk given 2 months investment horizon. IDFC Gov Sec holds Efficiency (Sharpe) Ratio of 0.7266 which attests that IDFC Gov Sec had 0.7266% of return per unit of return volatility over the last 2 months. Our approach into determining 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 IDFC Gov Sec which you can use to evaluate future volatility of the entity. Please utilize IDFC Gov Semi Deviation of 0.2248, Market Risk Adjusted Performance of 1.01 and Risk Adjusted Performance of 0.0946 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

IDFC Gov Market Sensitivity

As returns on market increase, IDFC Gov returns are expected to increase less than the market. However during bear market, the loss on holding IDFC Gov will be expected to be smaller as well.
2 Months Beta |Analyze IDFC Gov Sec Demand Trend
Check current 30 days IDFC Gov correlation with market (DOW)
β = 0.0222

IDFC Gov Central Daily Price Deviation

IDFC Gov Sec Technical Analysis

Transformation
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IDFC Gov Projected Return Density Against Market

Assuming 30 trading days horizon, IDFC Gov has beta of 0.0222 . This suggests as returns on market go up, IDFC Gov average returns are expected to increase less than the benchmark. However during bear market, the loss on holding IDFC Gov Sec ST Reg Qtr Div will be expected to be much smaller as well. Moreover, IDFC Gov Sec ST Reg Qtr Div has an alpha of 0.0258 implying that it can potentially generate 0.0258% 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 IDFC Gov is 137.63. The daily returns are destributed with a variance of 0.35 and standard deviation of 0.59. The mean deviation of IDFC Gov Sec ST Reg Qtr Div is currently at 0.52. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.0258
β
Beta against DOW=0.0222
σ
Overall volatility
=0.59
Ir
Information ratio =0.52

IDFC Gov Return Volatility

IDFC Gov Sec ST Reg Qtr Div accepts 0.5931% 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

IDFC Gov Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

IDFC Gov Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 2.2 times more volatile than IDFC Gov Sec ST Reg Qtr Div. 5% of all equities and portfolios are less risky than IDFC Gov. Compared to the overall equity markets, volatility of historical daily returns of IDFC Gov Sec ST Reg Qtr Div is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use IDFC Gov Sec ST Reg Qtr Div 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 IDFC Gov to be traded at 11.21 in 30 days. As returns on market increase, IDFC Gov returns are expected to increase less than the market. However during bear market, the loss on holding IDFC Gov will be expected to be smaller as well.

IDFC Gov correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding IDFC Gov Sec ST Reg Qtr Div and equity matching DJI index in the same portfolio.

IDFC Gov Volatility Indicators

IDFC Gov Sec ST Reg Qtr Div Current Risk Indicators

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