IDFC Gov (India) Risk Analysis And Volatility Evaluation

108646 -- India Fund  

INR 10.91  0.10  0.93%

Macroaxis considers IDFC Gov to be unknown risk. IDFC Gov Sec holds Efficiency (Sharpe) Ratio of -0.1823 which attests that IDFC Gov Sec had -0.1823% of return per unit of return volatility over the last 1 month. Macroaxis approach into determining 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. IDFC Gov Sec exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out IDFC Gov Market Risk Adjusted Performance of 1.57 and Risk Adjusted Performance of 0.0722 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

IDFC Gov Market Sensitivity

As returns on market increase, returns on owning IDFC Gov are expected to decrease at a much smaller rate. During bear market, IDFC Gov is likely to outperform the market.
One Month Beta |Analyze IDFC Gov Sec Demand Trend
Check current 30 days IDFC Gov correlation with market (DOW)
β = -0.0151
IDFC Gov Almost negative betaIDFC Gov Sec Beta Legend

IDFC Gov Sec 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.

IDFC Gov Projected Return Density Against Market

Assuming 30 trading days horizon, IDFC Gov Sec ST Reg Qtr Div has beta of -0.0151 . This suggests as returns on benchmark increase, returns on holding IDFC Gov are expected to decrease at a much smaller rate. During bear market, however, IDFC Gov Sec ST Reg Qtr Div is likely to outperform the market. Moreover, IDFC Gov Sec ST Reg Qtr Div has an alpha of 0.0212 implying that it can potentially generate 0.0212% 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 -548.47. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.1. The mean deviation of IDFC Gov Sec ST Reg Qtr Div is currently at 0.07. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.0212
β
Beta against DOW=0.02
σ
Overall volatility
=0.10
Ir
Information ratio =0.47

IDFC Gov Return Volatility

IDFC Gov Sec ST Reg Qtr Div accepts 0.1003% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IDFC Gov Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

IDFC Gov Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 10.6 times more volatile than IDFC Gov Sec ST Reg Qtr Div. 0% 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 0 (%) of all global equities and portfolios over the last 30 days. Use IDFC Gov Sec ST Reg Qtr Div to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of IDFC Gov to be traded at 12.0 in 30 days. As returns on market increase, returns on owning IDFC Gov are expected to decrease at a much smaller rate. During bear market, IDFC Gov is likely to outperform the market.

IDFC Gov correlation with market

Good 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

Check also Trending Equities. Please also try Portfolio Reporting module to create custom reports across your portfolios and generate quick suggestion pitch.
Search macroaxis.com