ICICI Pru (India) Risk Analysis And Volatility Evaluation

120210 -- India Fund  

INR 100.74  0.06  0.06%

We consider ICICI Pru unknown risk. ICICI Pru Money holds Efficiency (Sharpe) Ratio of 0.5 which attests that ICICI Pru Money had 0.5% of return per unit of risk over the last 1 month. 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 Money 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 0.0149%.
Horizon     30 Days    Login   to change

ICICI Pru Market Sensitivity

As returns on market increase, returns on owning ICICI Pru are expected to decrease at a much smaller rate. During bear market, ICICI Pru is likely to outperform the market.
One Month Beta |Analyze ICICI Pru Money Demand Trend
Check current 30 days ICICI Pru correlation with market (DOW)
β = -0.1069
ICICI Pru Almost negative betaICICI Pru Money Beta Legend

ICICI Pru Money 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 Money Mkt Opt Dir Fr Div has beta of -0.1069 . This suggests as returns on benchmark increase, returns on holding ICICI Pru are expected to decrease at a much smaller rate. During bear market, however, ICICI Pru Money Mkt Opt Dir Fr Div is likely to outperform the market. Moreover, ICICI Pru Money Mkt Opt Dir Fr Div has an alpha of 0.0246 implying that it can potentially generate 0.0246% 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 ICICI Pru is 200.0. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.03. The mean deviation of ICICI Pru Money Mkt Opt Dir Fr Div is currently at 0.02. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0246
β
Beta against DOW=0.11
σ
Overall volatility
=0.0298
Ir
Information ratio =1.3

ICICI Pru Return Volatility

ICICI Pru Money Mkt Opt Dir Fr Div accepts 0.0298% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% 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

Unaffected

Investment Outlook

ICICI Pru Investment Opportunity

DOW has a standard deviation of returns of 0.42 and is 14.0 times more volatile than ICICI Pru Money Mkt Opt Dir Fr 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 Money Mkt Opt Dir Fr Div is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use ICICI Pru Money Mkt Opt Dir Fr Div to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of ICICI Pru to be traded at 105.78 in 30 days. As returns on market increase, returns on owning ICICI Pru are expected to decrease at a much smaller rate. During bear market, ICICI Pru is likely to outperform the market.

ICICI Pru correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ICICI Pru Money Mkt Opt Dir Fr and equity matching DJI index in the same portfolio.

ICICI Pru Volatility Indicators

ICICI Pru Money Mkt Opt Dir Fr Div Current Risk Indicators

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