Birla Sun (India) Risk Analysis And Volatility

Macroaxis considers Birla Sun to be 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 2 months. 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. Birla Sun Life Finl Pl FOF Agg Dir Gr exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Birla Sun Life Risk Adjusted Performance of (0.25) and Mean Deviation of 1.28 to double-check risk estimate we provide.
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.
2 Months Beta |Analyze Birla Sun Life Demand Trend
Check current 30 days Birla Sun correlation with market (DOW)
β = -0.0345

Birla Sun Central Daily Price Deviation

Birla Sun Life Technical Analysis

Transformation
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Birla Sun Projected Return Density Against Market

Assuming 30 trading days horizon, Birla Sun Life Finl Pl FOF Agg Dir Gr has beta of -0.0345 . 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 Finl Pl FOF Agg Dir Gr is likely to outperform the market. Additionally, Birla Sun Life Finl Pl FOF Agg 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 0.21 and standard deviation of 0.46. The mean deviation of Birla Sun Life Finl Pl FOF Agg Dir Gr is currently at 0.36. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=0.33
β
Beta against DOW=0.03
σ
Overall volatility
=0.46
Ir
Information ratio =0.06

Birla Sun Return Volatility

Birla Sun Life Finl Pl FOF Agg Dir Gr accepts 0.4631% volatility on return distribution over the 30 days horizon. DOW inherits 2.0388% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Birla Sun Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Birla Sun Investment Opportunity

DOW has a standard deviation of returns of 2.04 and is 4.43 times more volatile than Birla Sun Life Finl Pl FOF Agg Dir Gr. 4% 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 Finl Pl FOF Agg Dir Gr is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Birla Sun Life Finl Pl FOF Agg Dir Gr to protect your portfolios against small markets fluctuations. The fund experiences very speculative upward sentiment. Check odds of Birla Sun to be traded at 0.0 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

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Birla Sun Life Finl Pl FOF Agg and equity matching DJI index in the same portfolio.

Birla Sun Volatility Indicators

Birla Sun Life Finl Pl FOF Agg Dir Gr Current Risk Indicators

Check also Trending Equities. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.
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