DHFL Pramerica (India) Risk Analysis And Volatility Evaluation

DWSGLOBALAGR -- India Fund  

INR 18.03  0.03  0.17%

Macroaxis considers DHFL Pramerica unknown risk given 1 month investment horizon. DHFL Pramerica Globl secures Sharpe Ratio (or Efficiency) of 0.5774 which denotes DHFL Pramerica Globl had 0.5774% of return per unit of return volatility over the last 1 month. Our approach into predicting 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 DHFL Pramerica Globl Agribus Off Reg Gr which you can use to evaluate future volatility of the entity. Please utilize DHFL Pramerica Globl Mean Deviation of 2.86 to check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

DHFL Pramerica Market Sensitivity

As returns on market increase, DHFL Pramerica returns are expected to increase less than the market. However during bear market, the loss on holding DHFL Pramerica will be expected to be smaller as well.
One Month Beta |Analyze DHFL Pramerica Globl Demand Trend
Check current 30 days DHFL Pramerica correlation with market (DOW)
β = 0.3188
DHFL Pramerica Small BetaDHFL Pramerica Globl Beta Legend

DHFL Pramerica Globl 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.

DHFL Pramerica Projected Return Density Against Market

Assuming 30 trading days horizon, DHFL Pramerica has beta of 0.3188 suggesting as returns on market go up, DHFL Pramerica average returns are expected to increase less than the benchmark. However during bear market, the loss on holding DHFL Pramerica Globl Agribus Off Reg Gr will be expected to be much smaller as well. In addition to that, DHFL Pramerica Globl Agribus Off Reg Gr has an alpha of 2.23 implying that it can potentially generate 2.23% 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 173.21. The daily returns are destributed with a variance of 0.56 and standard deviation of 0.75. The mean deviation of DHFL Pramerica Globl Agribus Off Reg Gr is currently at 0.57. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=2.23
β
Beta against DOW=0.32
σ
Overall volatility
=0.75
Ir
Information ratio =0.62

DHFL Pramerica Return Volatility

DHFL Pramerica Globl Agribus Off Reg Gr accepts 0.746% 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

DHFL Pramerica Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

DHFL Pramerica Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.41 times more volatile than DHFL Pramerica Globl Agribus Off Reg Gr. 6% 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 6 (%) of all global equities and portfolios over the last 30 days. Use DHFL Pramerica Globl Agribus Off Reg Gr to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of DHFL Pramerica to be traded at 18.93 in 30 days. As returns on market increase, DHFL Pramerica returns are expected to increase less than the market. However during bear market, the loss on holding DHFL Pramerica will be expected to be smaller as well.

DHFL Pramerica correlation with market

Average 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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