Taurus Liquid (India) Risk Analysis And Volatility Evaluation

F000000IE7 -- India Fund  

INR 2,117  1.01  0.0477%

We consider Taurus Liquid unknown risk. Taurus Liquid Gr owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5107 which indicates Taurus Liquid Gr had 0.5107% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 Taurus Liquid Gr which you can use to evaluate future volatility of the fund. Please validate Taurus Liquid Coefficient Of Variation of 350.65 and Risk Adjusted Performance of 0.1407 to confirm if risk estimate we provide are consistent with the epected return of 0.0916%.
Horizon     30 Days    Login   to change

Taurus Liquid Market Sensitivity

As returns on market increase, returns on owning Taurus Liquid are expected to decrease at a much smaller rate. During bear market, Taurus Liquid is likely to outperform the market.
One Month Beta |Analyze Taurus Liquid Gr Demand Trend
Check current 30 days Taurus Liquid correlation with market (DOW)
β = -0.2368
Taurus Liquid Almost negative betaTaurus Liquid Gr Beta Legend

Taurus Liquid Gr Technical Analysis

Transformation
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Taurus Liquid Projected Return Density Against Market

Assuming 30 trading days horizon, Taurus Liquid Gr has beta of -0.2368 suggesting as returns on benchmark increase, returns on holding Taurus Liquid are expected to decrease at a much smaller rate. During bear market, however, Taurus Liquid Gr is likely to outperform the market. Moreover, Taurus Liquid Gr has an alpha of 0.2459 implying that it can potentially generate 0.2459% 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 Taurus Liquid is 195.81. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.18. The mean deviation of Taurus Liquid Gr is currently at 0.13. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.25
β
Beta against DOW=0.24
σ
Overall volatility
=0.18
Ir
Information ratio =0.08

Taurus Liquid Return Volatility

Taurus Liquid Gr accepts 0.1794% volatility on return distribution over the 30 days horizon. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Taurus Liquid Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Taurus Liquid Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 2.5 times more volatile than Taurus Liquid Gr. 1% of all equities and portfolios are less risky than Taurus Liquid. Compared to the overall equity markets, volatility of historical daily returns of Taurus Liquid Gr is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Taurus Liquid Gr to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Taurus Liquid to be traded at 2222.64 in 30 days. As returns on market increase, returns on owning Taurus Liquid are expected to decrease at a much smaller rate. During bear market, Taurus Liquid is likely to outperform the market.

Taurus Liquid correlation with market

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

Taurus Liquid Volatility Indicators

Taurus Liquid Gr Current Risk Indicators

Additionally see Investing Opportunities. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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