Birla Sun (India) Risk Analysis And Volatility Evaluation

119620 -- India Fund  

INR 307.03  0.95  0.31%

We consider Birla Sun unknown risk. Birla Sun Life secures Sharpe Ratio (or Efficiency) of 0.5774 which signifies that Birla Sun Life had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing 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 Birla Sun Life Mid Cap Dir Gr which you can use to evaluate future volatility of the entity. Please confirm Birla Sun Life Risk Adjusted Performance of 0.029257 and Mean Deviation of 1.04 to double-check if risk estimate we provide are consistent with the epected return of 0.1035%.
Horizon     30 Days    Login   to change

Birla Sun Market Sensitivity

As returns on market increase, returns on owning Birla Sun are expected to decrease at a much smaller rate. During bear market, Birla Sun is likely to outperform the market.
One Month Beta |Analyze Birla Sun Life Demand Trend
Check current 30 days Birla Sun correlation with market (DOW)
β = -0.1343
Birla Sun Almost negative betaBirla Sun Life Beta Legend

Birla Sun Life 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.

Birla Sun Projected Return Density Against Market

Assuming 30 trading days horizon, Birla Sun Life Mid Cap Dir Gr has beta of -0.1343 . This suggests as returns on benchmark increase, returns on holding Birla Sun are expected to decrease at a much smaller rate. During bear market, however, Birla Sun Life Mid Cap Dir Gr is likely to outperform the market. Additionally, Birla Sun Life Mid Cap Dir Gr 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 Birla Sun is 173.21. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.18. The mean deviation of Birla Sun Life Mid Cap Dir Gr is currently at 0.14. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.13
β
Beta against DOW=0.13
σ
Overall volatility
=0.18
Ir
Information ratio =0.18

Birla Sun Return Volatility

Birla Sun Life Mid Cap Dir Gr accepts 0.1792% 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

Birla Sun Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Birla Sun Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 2.5 times more volatile than Birla Sun Life Mid Cap Dir Gr. 1% of all equities and portfolios are less risky than Birla Sun. Compared to the overall equity markets, volatility of historical daily returns of Birla Sun Life Mid Cap Dir Gr is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Birla Sun Life Mid Cap Dir Gr to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Birla Sun to be traded at 322.38 in 30 days. As returns on market increase, returns on owning Birla Sun are expected to decrease at a much smaller rate. During bear market, Birla Sun is likely to outperform the market.

Birla Sun correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Birla Sun Life Mid Cap Dir Gr and equity matching DJI index in the same portfolio.

Birla Sun Volatility Indicators

Birla Sun Life Mid Cap Dir Gr Current Risk Indicators

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