ICICI Pru (India) Risk Analysis And Volatility Evaluation

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 Money Technical Analysis

Transformation

Average Price Average Price Median Price Typical Price Weighted Close Price

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

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.