JPMorgan India (India) Risk Analysis And Volatility Evaluation

127164 -- India Fund  

INR 14.36  0.01  0.07%

We consider JPMorgan India unknown risk. JPMorgan India Govt holds Efficiency (Sharpe) Ratio of 0.7071 which attests that JPMorgan India Govt had 0.7071% of return per unit of volatility 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 JPMorgan India Govt which you can use to evaluate future volatility of the entity. Please check out JPMorgan India Risk Adjusted Performance of 0.1505 and Market Risk Adjusted Performance of 0.81 to validate if risk estimate we provide are consistent with the epected return of 0.0348%.
Horizon     30 Days    Login   to change

JPMorgan India Market Sensitivity

As returns on market increase, returns on owning JPMorgan India are expected to decrease at a much smaller rate. During bear market, JPMorgan India is likely to outperform the market.
One Month Beta |Analyze JPMorgan India Govt Demand Trend
Check current 30 days JPMorgan India correlation with market (DOW)
β = -0.1092
JPMorgan India Almost negative betaJPMorgan India Govt Beta Legend

JPMorgan India Govt 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.

JPMorgan India Projected Return Density Against Market

Assuming 30 trading days horizon, JPMorgan India Govt Sec Reg Ann Div has beta of -0.1092 . This suggests as returns on benchmark increase, returns on holding JPMorgan India are expected to decrease at a much smaller rate. During bear market, however, JPMorgan India Govt Sec Reg Ann Div is likely to outperform the market. Moreover, JPMorgan India Govt Sec Reg Ann Div has an alpha of 0.1081 implying that it can potentially generate 0.1081% 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 JPMorgan India is 141.42. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.05. The mean deviation of JPMorgan India Govt Sec Reg Ann Div is currently at 0.03. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.11
β
Beta against DOW=0.11
σ
Overall volatility
=0.0492
Ir
Information ratio =0.26

JPMorgan India Return Volatility

JPMorgan India Govt Sec Reg Ann Div accepts 0.0492% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

JPMorgan India Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

JPMorgan India Investment Opportunity

DOW has a standard deviation of returns of 0.44 and is 8.8 times more volatile than JPMorgan India Govt Sec Reg Ann Div. 0% of all equities and portfolios are less risky than JPMorgan India. Compared to the overall equity markets, volatility of historical daily returns of JPMorgan India Govt Sec Reg Ann Div is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use JPMorgan India Govt Sec Reg Ann Div to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of JPMorgan India to be traded at 14.22 in 30 days. As returns on market increase, returns on owning JPMorgan India are expected to decrease at a much smaller rate. During bear market, JPMorgan India is likely to outperform the market.

JPMorgan India correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan India Govt Sec Reg An and equity matching DJI index in the same portfolio.

JPMorgan India Volatility Indicators

JPMorgan India Govt Sec Reg Ann Div Current Risk Indicators

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