LT FRF (India) Risk Analysis And Volatility Evaluation

DBSCHOLASHOR -- India Fund  

INR 17.63  17.63  9,223,372,036,855%

Macroaxis considers LT FRF to be unknown risk. LT FRF Gr retains Efficiency (Sharpe Ratio) of -0.5774 which conveys that LT FRF Gr had -0.5774% of return per unit of price deviation over the last 1 month. Macroaxis way in which we are estimating 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. LT FRF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify LT FRF Gr Standard Deviation of 0.3777, Market Risk Adjusted Performance of 5.29 and Mean Deviation of 0.3118 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

LT FRF Market Sensitivity

As returns on market increase, LT FRF returns are expected to increase less than the market. However during bear market, the loss on holding LT FRF will be expected to be smaller as well.
One Month Beta |Analyze LT FRF Gr Demand Trend
Check current 30 days LT FRF correlation with market (DOW)
β = 0.042
LT FRF Small BetaLT FRF Gr Beta Legend

LT FRF Gr 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.

LT FRF Projected Return Density Against Market

Assuming 30 trading days horizon, LT FRF has beta of 0.042 suggesting as returns on market go up, LT FRF average returns are expected to increase less than the benchmark. However during bear market, the loss on holding LT FRF Gr will be expected to be much smaller as well. Moreover, LT FRF Gr has an alpha of 0.2289 implying that it can potentially generate 0.2289% 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 LT FRF is -173.21. The daily returns are destributed with a variance of 0.09 and standard deviation of 0.29. The mean deviation of LT FRF Gr is currently at 0.23. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.23
β
Beta against DOW=0.042
σ
Overall volatility
=0.29
Ir
Information ratio =1.04

LT FRF Return Volatility

LT FRF Gr accepts 0.2932% volatility on return distribution over the 30 days horizon. DOW inherits 1.0609% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

LT FRF Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

LT FRF Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 3.66 times more volatile than LT FRF Gr. 2% of all equities and portfolios are less risky than LT FRF. Compared to the overall equity markets, volatility of historical daily returns of LT FRF Gr is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use LT FRF Gr to enhance returns of your portfolios. The fund experiences very speculative upward sentiment.. Check odds of LT FRF to be traded at 22.04 in 30 days. As returns on market increase, LT FRF returns are expected to increase less than the market. However during bear market, the loss on holding LT FRF will be expected to be smaller as well.

LT FRF correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding LT FRF Gr and equity matching DJI index in the same portfolio.

LT FRF Volatility Indicators

LT FRF Gr Current Risk Indicators

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