Sundaram Growth (India) Risk Analysis And Volatility Evaluation

119592 -- India Fund  

INR 122.03  0.48  0.39%

We consider Sundaram Growth unknown risk. Sundaram Growth Dir owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0019 which indicates Sundaram Growth Dir had 0.0019% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 Sundaram Growth Dir Gr which you can use to evaluate future volatility of the fund. Please validate Sundaram Growth Coefficient Of Variation of 507.88 and Risk Adjusted Performance of 0.1994 to confirm if risk estimate we provide are consistent with the epected return of 9.0E-4%.
Horizon     30 Days    Login   to change

Sundaram Growth Market Sensitivity

As returns on market increase, Sundaram Growth returns are expected to increase less than the market. However during bear market, the loss on holding Sundaram Growth will be expected to be smaller as well.
One Month Beta |Analyze Sundaram Growth Dir Demand Trend
Check current 30 days Sundaram Growth correlation with market (DOW)
β = 0.0794
Sundaram Growth Small BetaSundaram Growth Dir Beta Legend

Sundaram Growth Dir Technical Analysis

Transformation
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Sundaram Growth Projected Return Density Against Market

Assuming 30 trading days horizon, Sundaram Growth has beta of 0.0794 . This suggests as returns on market go up, Sundaram Growth average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Sundaram Growth Dir Gr will be expected to be much smaller as well. Moreover, Sundaram Growth Dir Gr has an alpha of 0.0899 implying that it can potentially generate 0.0899% 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 Sundaram Growth is 52456.74. The daily returns are destributed with a variance of 0.23 and standard deviation of 0.48. The mean deviation of Sundaram Growth Dir Gr is currently at 0.27. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.09
β
Beta against DOW=0.08
σ
Overall volatility
=0.48
Ir
Information ratio =0.57

Sundaram Growth Return Volatility

Sundaram Growth Dir Gr accepts 0.4826% volatility on return distribution over the 30 days horizon. DOW inherits 1.0609% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sundaram Growth Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Sundaram Growth Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 2.21 times more volatile than Sundaram Growth Dir Gr. 4% of all equities and portfolios are less risky than Sundaram Growth. Compared to the overall equity markets, volatility of historical daily returns of Sundaram Growth Dir Gr is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Sundaram Growth Dir Gr to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Sundaram Growth to be traded at 128.13 in 30 days. As returns on market increase, Sundaram Growth returns are expected to increase less than the market. However during bear market, the loss on holding Sundaram Growth will be expected to be smaller as well.

Sundaram Growth correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sundaram Growth Dir Gr and equity matching DJI index in the same portfolio.

Sundaram Growth Volatility Indicators

Sundaram Growth Dir Gr Current Risk Indicators

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