Escorts Leading (India) Risk Analysis And Volatility Evaluation

F000002109 -- India Fund  

INR 32.29  0.42  1.32%

Macroaxis considers Escorts Leading to be unknown risk. Escorts Leading Sectors secures Sharpe Ratio (or Efficiency) of -0.7993 which denotes Escorts Leading Sectors had -0.7993% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in predicting 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. Escorts Leading Sectors Gr exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Escorts Leading Sectors Semi Deviation of 0.9867, Mean Deviation of 0.6111 and Downside Deviation of 1.3 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Escorts Leading Market Sensitivity

As returns on market increase, Escorts Leading returns are expected to increase less than the market. However during bear market, the loss on holding Escorts Leading will be expected to be smaller as well.
One Month Beta |Analyze Escorts Leading Sectors Demand Trend
Check current 30 days Escorts Leading correlation with market (DOW)
β = 0.6406
Escorts Leading Small BetaEscorts Leading Sectors Beta Legend

Escorts Leading Sectors 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.

Escorts Leading Projected Return Density Against Market

Assuming 30 trading days horizon, Escorts Leading has beta of 0.6406 suggesting as returns on market go up, Escorts Leading average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Escorts Leading Sectors Gr will be expected to be much smaller as well. Additionally, Escorts Leading Sectors Gr has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Escorts Leading is -125.1. The daily returns are destributed with a variance of 1.33 and standard deviation of 1.15. The mean deviation of Escorts Leading Sectors Gr is currently at 0.92. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.06
β
Beta against DOW=0.64
σ
Overall volatility
=1.15
Ir
Information ratio =0.1

Escorts Leading Return Volatility

Escorts Leading Sectors Gr accepts 1.1537% 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

Escorts Leading Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Escorts Leading Investment Opportunity

Escorts Leading Sectors Gr has a volatility of 1.15 and is 2.74 times more volatile than DOW. 10% of all equities and portfolios are less risky than Escorts Leading. Compared to the overall equity markets, volatility of historical daily returns of Escorts Leading Sectors Gr is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Escorts Leading Sectors Gr to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of Escorts Leading to be traded at 35.52 in 30 days. As returns on market increase, Escorts Leading returns are expected to increase less than the market. However during bear market, the loss on holding Escorts Leading will be expected to be smaller as well.

Escorts Leading correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Escorts Leading Sectors Gr and equity matching DJI index in the same portfolio.

Escorts Leading Volatility Indicators

Escorts Leading Sectors Gr Current Risk Indicators

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