DHFL Pramerica (India) Risk Analysis And Volatility Evaluation

DWSGLOBALAGR -- India Fund  

INR 15.89  0.06  0.38%

Macroaxis considers DHFL Pramerica to be unknown risk. DHFL Pramerica Globl secures Sharpe Ratio (or Efficiency) of -0.6963 which denotes DHFL Pramerica Globl had -0.6963% of return per unit of return volatility over the last 2 months. Macroaxis approach into predicting 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. DHFL Pramerica Globl Agribus Off Reg Gr exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm DHFL Pramerica Globl Mean Deviation of 3.1 to check risk estimate we provide.
Horizon     30 Days    Login   to change

DHFL Pramerica Market Sensitivity

As returns on market increase, returns on owning DHFL Pramerica are expected to decrease at a much smaller rate. During bear market, DHFL Pramerica is likely to outperform the market.
2 Months Beta |Analyze DHFL Pramerica Globl Demand Trend
Check current 30 days DHFL Pramerica correlation with market (DOW)
β = -0.257

DHFL Pramerica Central Daily Price Deviation

DHFL Pramerica Globl Technical Analysis

Transformation
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DHFL Pramerica Projected Return Density Against Market

Assuming 30 trading days horizon, DHFL Pramerica Globl Agribus Off Reg Gr has beta of -0.257 suggesting as returns on benchmark increase, returns on holding DHFL Pramerica are expected to decrease at a much smaller rate. During bear market, however, DHFL Pramerica Globl Agribus Off Reg Gr is likely to outperform the market. Moreover, DHFL Pramerica Globl Agribus Off Reg Gr has an alpha of 0.0375 implying that it can potentially generate 0.0375% 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 DHFL Pramerica is -143.61. The daily returns are destributed with a variance of 14.58 and standard deviation of 3.82. The mean deviation of DHFL Pramerica Globl Agribus Off Reg Gr is currently at 2.72. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
α
Alpha over DOW
=0.0375
β
Beta against DOW=0.26
σ
Overall volatility
=3.82
Ir
Information ratio =0.06

DHFL Pramerica Return Volatility

DHFL Pramerica Globl Agribus Off Reg Gr accepts 3.8179% 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

DHFL Pramerica Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

DHFL Pramerica Investment Opportunity

DHFL Pramerica Globl Agribus Off Reg Gr has a volatility of 3.82 and is 2.83 times more volatile than DOW. 34% of all equities and portfolios are less risky than DHFL Pramerica. Compared to the overall equity markets, volatility of historical daily returns of DHFL Pramerica Globl Agribus Off Reg Gr is lower than 34 (%) of all global equities and portfolios over the last 30 days. Use DHFL Pramerica Globl Agribus Off Reg Gr to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of DHFL Pramerica to be traded at 15.73 in 30 days. As returns on market increase, returns on owning DHFL Pramerica are expected to decrease at a much smaller rate. During bear market, DHFL Pramerica is likely to outperform the market.

DHFL Pramerica correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding DHFL Pramerica Globl Agribus O and equity matching DJI index in the same portfolio.

DHFL Pramerica Volatility Indicators

DHFL Pramerica Globl Agribus Off Reg Gr Current Risk Indicators

Additionally see Investing Opportunities. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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