ICICI Pru (India) Risk Analysis And Volatility Evaluation

130944 -- India Fund  

INR 14.42  0.01  0.07%

We consider ICICI Pru unknown risk. ICICI Pru Regular holds Efficiency (Sharpe) Ratio of 0.5767 which attests that ICICI Pru Regular had 0.5767% of return per unit of risk over the last 2 months. 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 Regular 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 0.1395%.
Horizon     30 Days    Login   to change

ICICI Pru Market Sensitivity

As returns on market increase, ICICI Pru returns are expected to increase less than the market. However during bear market, the loss on holding ICICI Pru will be expected to be smaller as well.
2 Months Beta |Analyze ICICI Pru Regular Demand Trend
Check current 30 days ICICI Pru correlation with market (DOW)
β = 0.0056

ICICI Pru Central Daily Price Deviation

ICICI Pru Regular 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 has beta of 0.0056 . This suggests as returns on market go up, ICICI Pru average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ICICI Pru Regular Savings Dir Bns will be expected to be much smaller as well. Moreover, ICICI Pru Regular Savings Dir Bns has an alpha of 0.0248 implying that it can potentially generate 0.0248% 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 173.4. The daily returns are destributed with a variance of 0.06 and standard deviation of 0.24. The mean deviation of ICICI Pru Regular Savings Dir Bns is currently at 0.17. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
α
Alpha over DOW
=0.0248
β
Beta against DOW=0.0056
σ
Overall volatility
=0.24
Ir
Information ratio =1.39

ICICI Pru Return Volatility

ICICI Pru Regular Savings Dir Bns accepts 0.2419% volatility on return distribution over the 30 days horizon. DOW inherits 1.3487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ICICI Pru Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

ICICI Pru Investment Opportunity

DOW has a standard deviation of returns of 1.35 and is 5.63 times more volatile than ICICI Pru Regular Savings Dir Bns. 2% 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 Regular Savings Dir Bns is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use ICICI Pru Regular Savings Dir Bns to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of ICICI Pru to be traded at 15.14 in 30 days. As returns on market increase, ICICI Pru returns are expected to increase less than the market. However during bear market, the loss on holding ICICI Pru will be expected to be smaller as well.

ICICI Pru correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding ICICI Pru Regular Savings Dir and equity matching DJI index in the same portfolio.

ICICI Pru Volatility Indicators

ICICI Pru Regular Savings Dir Bns Current Risk Indicators

Check also Trending Equities. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
Search macroaxis.com