Edelweiss ELSS (India) Risk Analysis And Volatility

F000002SS3 -- India Fund  

INR 42.96  0.000001  0.00%

Macroaxis considers Edelweiss ELSS to be unknown risk. Edelweiss ELSS Gr secures Sharpe Ratio (or Efficiency) of -0.0489 which denotes the fund had -0.0489% of return per unit of risk over the last 2 months. Macroaxis philosophy towards 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. Edelweiss ELSS Gr exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Edelweiss ELSS Gr Mean Deviation of 1.37 and Coefficient Of Variation of (1,706) to check risk estimate we provide.
Horizon     30 Days    Login   to change

Edelweiss ELSS Market Sensitivity

As returns on market increase, returns on owning Edelweiss ELSS are expected to decrease at a much smaller rate. During bear market, Edelweiss ELSS is likely to outperform the market.
2 Months Beta |Analyze Edelweiss ELSS Gr Demand Trend
Check current 30 days Edelweiss ELSS correlation with market (DOW)
β = -0.768

Edelweiss ELSS Central Daily Price Deviation

Edelweiss ELSS Gr Technical Analysis

Transformation
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Edelweiss ELSS Projected Return Density Against Market

Assuming 30 trading days horizon, Edelweiss ELSS Gr has beta of -0.768 suggesting as returns on benchmark increase, returns on holding Edelweiss ELSS are expected to decrease at a much smaller rate. During bear market, however, Edelweiss ELSS Gr is likely to outperform the market. Moreover, The company has an alpha of 0.0293 implying that it can potentially generate 0.0293% 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 Edelweiss ELSS is -2043.69. The daily returns are destributed with a variance of 1.57 and standard deviation of 1.25. The mean deviation of Edelweiss ELSS Gr is currently at 0.85. For similar time horizon, the selected benchmark (DOW) has volatility of 1.74
α
Alpha over DOW
=0.0293
β
Beta against DOW=0.77
σ
Overall volatility
=1.25
Ir
Information ratio =0.16

Edelweiss ELSS Return Volatility

the fund accepts 1.2544% volatility on return distribution over the 30 days horizon. the entity inherits 1.5638% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Edelweiss ELSS Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Edelweiss ELSS Investment Opportunity

DOW has a standard deviation of returns of 1.56 and is 1.25 times more volatile than Edelweiss ELSS Gr. 11% of all equities and portfolios are less risky than Edelweiss ELSS. Compared to the overall equity markets, volatility of historical daily returns of Edelweiss ELSS Gr is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Edelweiss ELSS Gr to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Edelweiss ELSS to be traded at 45.11 in 30 days. . As returns on market increase, returns on owning Edelweiss ELSS are expected to decrease at a much smaller rate. During bear market, Edelweiss ELSS is likely to outperform the market.

Edelweiss ELSS correlation with market

correlation synergy
Excellent diversification
Overlapping area represents the amount of risk that can be diversified away by holding Edelweiss ELSS Gr and equity matching DJI index in the same portfolio.

Edelweiss ELSS Volatility Indicators

Edelweiss ELSS Gr Current Risk Indicators

Additionally see Investing Opportunities. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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