DHFL Pramerica (India) Risk Analysis And Volatility

F000002134 -- India Fund  

INR 22.80  0.0038  0.0167%

We consider DHFL Pramerica not too risky. DHFL Pramerica Low secures Sharpe Ratio (or Efficiency) of 0.3613 which denotes the fund had 0.3613% of return per unit of return volatility over the last 2 months. Our approach into predicting 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 technical indicators for DHFL Pramerica Low Dur Instl Gr which you can use to evaluate future volatility of the entity. Please confirm DHFL Pramerica Low Mean Deviation of 0.1245 and Coefficient Of Variation of 250.02 to check if risk estimate we provide are consistent with the epected return of 0.0281%.
Horizon     30 Days    Login   to change

DHFL Pramerica Market Sensitivity

As returns on market increase, returns on owning DHFL Pramerica are expected to decrease at a much smaller rate. During bear market, DHFL Pramerica is likely to outperform the market.
2 Months Beta |Analyze DHFL Pramerica Low Demand Trend
Check current 30 days DHFL Pramerica correlation with market (DOW)
β = -0.0258

DHFL Pramerica Central Daily Price Deviation

DHFL Pramerica Low Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. DHFL Pramerica Low Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

DHFL Pramerica Projected Return Density Against Market

Assuming 30 trading days horizon, DHFL Pramerica Low Dur Instl Gr has beta of -0.0258 suggesting as returns on benchmark increase, returns on holding DHFL Pramerica are expected to decrease at a much smaller rate. During bear market, however, DHFL Pramerica Low Dur Instl Gr is likely to outperform the market. Moreover, The company has an alpha of 0.0815 implying that it can potentially generate 0.0815% 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 DHFL Pramerica is 276.75. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.08. The mean deviation of DHFL Pramerica Low Dur Instl Gr is currently at 0.04. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.08
β
Beta against DOW=0.03
σ
Overall volatility
=0.08
Ir
Information ratio =0.0371

DHFL Pramerica Return Volatility

the fund accepts 0.0779% volatility on return distribution over the 30 days horizon. the entity inherits 1.8419% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

DHFL Pramerica Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very Small

60 Days Economic Sensitivity

Moves indifferently to market moves

Investment Outlook

DHFL Pramerica Investment Opportunity

DOW has a standard deviation of returns of 1.84 and is 23.0 times more volatile than DHFL Pramerica Low Dur Instl Gr. 0% of all equities and portfolios are less risky than DHFL Pramerica. Compared to the overall equity markets, volatility of historical daily returns of DHFL Pramerica Low Dur Instl Gr is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use DHFL Pramerica Low Dur Instl Gr to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of DHFL Pramerica to be traded at 23.94 in 30 days. . As returns on market increase, returns on owning DHFL Pramerica are expected to decrease at a much smaller rate. During bear market, DHFL Pramerica is likely to outperform the market.

DHFL Pramerica correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding DHFL Pramerica Low Dur Instl G and equity matching DJI index in the same portfolio.

DHFL Pramerica Volatility Indicators

DHFL Pramerica Low Dur Instl Gr Current Risk Indicators

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