SBI ST (India) Risk Analysis And Volatility Evaluation

F000000JWU -- India Fund  

INR 10.96  0.03  0.27%

Macroaxis considers SBI ST to be unknown risk. SBI ST Debt owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5774 which indicates SBI ST Debt had -0.5774% of return per unit of volatility over the last 1 month. Macroaxis way of measuring 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. SBI ST Debt Retl Fr Div exposes twenty different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SBI ST Risk Adjusted Performance of 0.0052, Market Risk Adjusted Performance of 0.1085 and Coefficient Of Variation of 1017.17 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

SBI ST Market Sensitivity

As returns on market increase, returns on owning SBI ST are expected to decrease at a much smaller rate. During bear market, SBI ST is likely to outperform the market.
One Month Beta |Analyze SBI ST Debt Demand Trend
Check current 30 days SBI ST correlation with market (DOW)
β = -0.0099
SBI ST Almost negative betaSBI ST Debt Beta Legend

SBI ST Debt Technical Analysis

Transformation
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SBI ST Projected Return Density Against Market

Assuming 30 trading days horizon, SBI ST Debt Retl Fr Div has beta of -0.0099 suggesting as returns on benchmark increase, returns on holding SBI ST are expected to decrease at a much smaller rate. During bear market, however, SBI ST Debt Retl Fr Div is likely to outperform the market. Moreover, SBI ST Debt Retl Fr Div has an alpha of 7.0E-4 implying that it can potentially generate 7.0E-4% 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 SBI ST is -173.21. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.16. The mean deviation of SBI ST Debt Retl Fr Div is currently at 0.12. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0007
β
Beta against DOW=0.0099
σ
Overall volatility
=0.16
Ir
Information ratio =1.82

SBI ST Return Volatility

SBI ST Debt Retl Fr Div accepts 0.1576% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SBI ST Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

SBI ST Investment Opportunity

DOW has a standard deviation of returns of 0.42 and is 2.63 times more volatile than SBI ST Debt Retl Fr Div. 1% 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 1 (%) of all global equities and portfolios over the last 30 days. Use SBI ST Debt Retl Fr Div to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of SBI ST to be traded at 10.85 in 30 days. As returns on market increase, returns on owning SBI ST are expected to decrease at a much smaller rate. During bear market, SBI ST is likely to outperform the market.

SBI ST correlation with market

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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