ICICI Pru (India) Risk Analysis And Volatility Evaluation

117706 -- India Fund  

INR 10.59  0.00  0.00%

Our approach towards 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 ICICI Pru Corp which you can use to evaluate future volatility of the entity. Please check out ICICI Pru to validate if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

ICICI Pru Market Sensitivity

As returns on market increase, ICICI Pru returns are expected to increase less than the market. However during bear market, the loss on holding ICICI Pru will be expected to be smaller as well.
One Month Beta |Analyze ICICI Pru Corp Demand Trend
Check current 30 days ICICI Pru correlation with market (DOW)
β = 0.079

ICICI Pru Central Daily Price Deviation

ICICI Pru Corp 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.

ICICI Pru Projected Return Density Against Market

Assuming 30 trading days horizon, ICICI Pru has beta of 0.079 . This suggests as returns on market go up, ICICI Pru average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ICICI Pru Corp Bond B HY Div will be expected to be much smaller as well. Moreover, ICICI Pru Corp Bond B HY Div has an alpha of 0.1757 implying that it can potentially generate 0.1757% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.18
β
Beta against DOW=0.08
σ
Overall volatility
=0.00
Ir
Information ratio =0.40

ICICI Pru Return Volatility

ICICI Pru Corp Bond B HY Div accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.1967% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ICICI Pru Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

ICICI Pru Investment Opportunity

DOW has a standard deviation of returns of 1.2 and is 9.223372036854776E16 times more volatile than ICICI Pru Corp Bond B HY Div. 0% of all equities and portfolios are less risky than ICICI Pru. Compared to the overall equity markets, volatility of historical daily returns of ICICI Pru Corp Bond B HY Div is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use ICICI Pru Corp Bond B HY 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 ICICI Pru to be traded at 10.48 in 30 days. As returns on market increase, ICICI Pru returns are expected to increase less than the market. However during bear market, the loss on holding ICICI Pru will be expected to be smaller as well.

ICICI Pru correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding ICICI Pru Corp Bond B HY Div and equity matching DJI index in the same portfolio.

ICICI Pru Volatility Indicators

ICICI Pru Corp Bond B HY Div Current Risk Indicators

Check also Trending Equities. Please also try Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Search macroaxis.com