Birla Sun (India) Risk Analysis And Volatility Evaluation

F000000C40 -- India Fund  

INR 36.90  1.27  3.33%

Birla Sun is unknown risk given 2 months investment horizon. Birla Sun Life secures Sharpe Ratio (or Efficiency) of 0.7394 which signifies that Birla Sun Life had 0.7394% of return per unit of risk over the last 2 months. Our philosophy towards foreseeing risk of a fund is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.1421% are justified by taking the suggested risk. Use Birla Sun Downside Deviation of 1.46, Risk Adjusted Performance of 0.0124 and Mean Deviation of 0.6807 to evaluate company specific risk that cannot be diversified away.
Horizon     30 Days    Login   to change

Birla Sun Market Sensitivity

As returns on market increase, Birla Sun returns are expected to increase less than the market. However during bear market, the loss on holding Birla Sun will be expected to be smaller as well.
2 Months Beta |Analyze Birla Sun Life Demand Trend
Check current 30 days Birla Sun correlation with market (DOW)
β = 0.1929

Birla Sun Central Daily Price Deviation

Birla Sun Life Technical Analysis

Transformation
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Birla Sun Projected Return Density Against Market

Assuming 30 trading days horizon, Birla Sun has beta of 0.1929 suggesting as returns on market go up, Birla Sun average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Birla Sun Life Tax Gr will be expected to be much smaller as well. Moreover, Birla Sun Life Tax Gr has an alpha of 0.0244 implying that it can potentially generate 0.0244% 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 Birla Sun is 135.25. The daily returns are destributed with a variance of 2.39 and standard deviation of 1.54. The mean deviation of Birla Sun Life Tax Gr is currently at 1.17. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.0244
β
Beta against DOW=0.19
σ
Overall volatility
=1.54
Ir
Information ratio =0.11

Birla Sun Return Volatility

Birla Sun Life Tax Gr accepts 1.5447% volatility on return distribution over the 30 days horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Birla Sun Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Birla Sun Investment Opportunity

Birla Sun Life Tax Gr has a volatility of 1.54 and is 1.2 times more volatile than DOW. 13% of all equities and portfolios are less risky than Birla Sun. Compared to the overall equity markets, volatility of historical daily returns of Birla Sun Life Tax Gr is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Birla Sun Life Tax Gr to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Birla Sun to be traded at 35.42 in 30 days. As returns on market increase, Birla Sun returns are expected to increase less than the market. However during bear market, the loss on holding Birla Sun will be expected to be smaller as well.

Birla Sun correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Birla Sun Life Tax Gr and equity matching DJI index in the same portfolio.

Birla Sun Volatility Indicators

Birla Sun Life Tax Gr Current Risk Indicators

Additionally see Investing Opportunities. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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