Canara Robeco (India) Risk Analysis And Volatility Evaluation

118300 -- India Fund  

INR 9.08  0.52  5.42%

Macroaxis considers Canara Robeco to be unknown risk. Canara Robeco Gold secures Sharpe Ratio (or Efficiency) of -0.9632 which signifies that Canara Robeco Gold had -0.9632% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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. Canara Robeco Gold Savings Dir Div exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Canara Robeco Gold Risk Adjusted Performance of 0.0014 and Mean Deviation of 0.2673 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Canara Robeco Market Sensitivity

As returns on market increase, Canara Robeco returns are expected to increase less than the market. However during bear market, the loss on holding Canara Robeco will be expected to be smaller as well.
One Month Beta |Analyze Canara Robeco Gold Demand Trend
Check current 30 days Canara Robeco correlation with market (DOW)
β = 0.2504
Canara Robeco Central Price Deviations

Canara Robeco Gold Technical Analysis

Transformation
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Canara Robeco Projected Return Density Against Market

Assuming 30 trading days horizon, Canara Robeco has beta of 0.2504 . This suggests as returns on market go up, Canara Robeco average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Canara Robeco Gold Savings Dir Div will be expected to be much smaller as well. Additionally, Canara Robeco Gold Savings Dir 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 Canara Robeco is -103.82. The daily returns are destributed with a variance of 3.09 and standard deviation of 1.76. The mean deviation of Canara Robeco Gold Savings Dir Div is currently at 1.21. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.0031
β
Beta against DOW=0.25
σ
Overall volatility
=1.76
Ir
Information ratio =0.0068

Canara Robeco Return Volatility

Canara Robeco Gold Savings Dir Div accepts 1.7567% volatility on return distribution over the 30 days horizon. DOW inherits 1.2145% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Canara Robeco Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Canara Robeco Investment Opportunity

Canara Robeco Gold Savings Dir Div has a volatility of 1.76 and is 1.45 times more volatile than DOW. 15% of all equities and portfolios are less risky than Canara Robeco. Compared to the overall equity markets, volatility of historical daily returns of Canara Robeco Gold Savings Dir Div is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Canara Robeco Gold Savings Dir Div to protect against small markets fluctuations. The fund experiences very speculative upward sentiment.. Check odds of Canara Robeco to be traded at 8.63 in 30 days. As returns on market increase, Canara Robeco returns are expected to increase less than the market. However during bear market, the loss on holding Canara Robeco will be expected to be smaller as well.

Canara Robeco correlation with market

correlation synergy
Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Canara Robeco Gold Savings Dir and equity matching DJI index in the same portfolio.

Canara Robeco Volatility Indicators

Canara Robeco Gold Savings Dir Div Current Risk Indicators

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