SBI ST (India) Risk Analysis And Volatility

F000000JWU -- India Fund  

INR 11.00  0.00  0.00%

We consider SBI ST unknown risk. SBI ST Debt owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.4272 which indicates the fund had 0.4272% of return per unit of volatility over the last 2 months. Our way of 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 SBI ST Debt Retl Fr Div which you can use to evaluate future volatility of the entity. Please validate SBI ST Downside Deviation of 0.1909 and Risk Adjusted Performance of 0.0504 to confirm if risk estimate we provide are consistent with the epected return of 0.0207%.
Horizon     30 Days    Login   to change

SBI ST Debt Technical Analysis

Transformation
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SBI ST Projected Return Density Against Market

Assuming 30 trading days horizon, SBI ST has beta of 0.0 suggesting the returns on DOW and SBI ST do not appear to be sensitive. Furthermore, It does not look like the company alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of SBI ST is 234.07. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.05. The mean deviation of SBI ST Debt Retl Fr Div is currently at 0.04. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.0485
Ir
Information ratio =0.64

SBI ST Return Volatility

the fund accepts 0.0485% volatility on return distribution over the 30 days horizon. the entity inherits 1.9131% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SBI ST Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

SBI ST Investment Opportunity

DOW has a standard deviation of returns of 1.91 and is 38.2 times more volatile than SBI ST Debt Retl Fr Div. 0% of all equities and portfolios are less risky than SBI ST. Compared to the overall equity markets, volatility of historical daily returns of SBI ST Debt Retl Fr Div is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use SBI ST Debt Retl Fr Div to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of SBI ST to be traded at 10.89 in 30 days. . The returns on DOW and SBI ST are completely uncorrelated.

SBI ST correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding SBI ST Debt Retl Fr Div and equity matching DJI index in the same portfolio.

SBI ST Volatility Indicators

SBI ST Debt Retl Fr Div Current Risk Indicators

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