LT Gilt (India) Risk Analysis And Volatility Evaluation

112428 -- India Fund  

INR 11.83  0.01  0.08%

We consider LT Gilt unknown risk. LT Gilt Qt retains Efficiency (Sharpe Ratio) of 0.7071 which conveys that LT Gilt Qt had 0.7071% of return per unit of price deviation over the last 1 month. Our way in which we are estimating 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 LT Gilt which you can use to evaluate future volatility of the organization. Please verify LT Gilt Qt Div Standard Deviation of 0.3738, Market Risk Adjusted Performance of 0.66 and Mean Deviation of 0.1676 to check out if risk estimate we provide are consistent with the epected return of 0.0423%.
Horizon     30 Days    Login   to change

LT Gilt Market Sensitivity

As returns on market increase, LT Gilt returns are expected to increase less than the market. However during bear market, the loss on holding LT Gilt will be expected to be smaller as well.
One Month Beta |Analyze LT Gilt Qt Demand Trend
Check current 30 days LT Gilt correlation with market (DOW)
β = 0.0965
LT Gilt Small BetaLT Gilt Qt Beta Legend

LT Gilt Qt Technical Analysis

Transformation
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LT Gilt Projected Return Density Against Market

Assuming 30 trading days horizon, LT Gilt has beta of 0.0965 . This suggests as returns on market go up, LT Gilt average returns are expected to increase less than the benchmark. However during bear market, the loss on holding LT Gilt Qt Div will be expected to be much smaller as well. Additionally, LT Gilt Qt 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 LT Gilt is 141.42. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.06. The mean deviation of LT Gilt Qt Div is currently at 0.04. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.08
β
Beta against DOW=0.1
σ
Overall volatility
=0.06
Ir
Information ratio =0.62

LT Gilt Return Volatility

LT Gilt Qt Div accepts 0.0598% 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

LT Gilt Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

LT Gilt Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 7.5 times more volatile than LT Gilt Qt Div. 0% of all equities and portfolios are less risky than LT Gilt. Compared to the overall equity markets, volatility of historical daily returns of LT Gilt Qt Div is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use LT Gilt Qt Div to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of LT Gilt to be traded at 12.42 in 30 days. As returns on market increase, LT Gilt returns are expected to increase less than the market. However during bear market, the loss on holding LT Gilt will be expected to be smaller as well.

LT Gilt correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding LT Gilt Qt Div and equity matching DJI index in the same portfolio.

LT Gilt Volatility Indicators

LT Gilt Qt Div Current Risk Indicators

Check also Trending Equities. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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