Edelweiss ELSS (India) Risk Analysis And Volatility Evaluation

F000002SS3 -- India Fund  

INR 43.49  0.10  0.23%

Macroaxis considers Edelweiss ELSS unknown risk given 1 month investment horizon. Edelweiss ELSS Gr secures Sharpe Ratio (or Efficiency) of 0.7071 which denotes Edelweiss ELSS Gr had 0.7071% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By reviewing Edelweiss ELSS Gr technical indicators you can presently evaluate if the expected return of 0.5345% is justified by implied risk. Please utilize Edelweiss ELSS Gr Coefficient Of Variation of 14,005 and Mean Deviation of 0.6279 to check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Edelweiss ELSS Market Sensitivity

As returns on market increase, Edelweiss ELSS returns are expected to increase less than the market. However during bear market, the loss on holding Edelweiss ELSS will be expected to be smaller as well.
One Month Beta |Analyze Edelweiss ELSS Gr Demand Trend
Check current 30 days Edelweiss ELSS correlation with market (DOW)
β = 0.4499

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 has beta of 0.4499 suggesting as returns on market go up, Edelweiss ELSS average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Edelweiss ELSS Gr will be expected to be much smaller as well. Moreover, Edelweiss ELSS Gr has an alpha of 0.0156 implying that it can potentially generate 0.0156% 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 141.42. The daily returns are destributed with a variance of 0.57 and standard deviation of 0.76. The mean deviation of Edelweiss ELSS Gr is currently at 0.53. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.0156
β
Beta against DOW=0.45
σ
Overall volatility
=0.76
Ir
Information ratio =0.0417

Edelweiss ELSS Return Volatility

Edelweiss ELSS Gr accepts 0.7559% volatility on return distribution over the 30 days horizon. DOW inherits 1.3198% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Edelweiss ELSS Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Edelweiss ELSS Investment Opportunity

DOW has a standard deviation of returns of 1.32 and is 1.74 times more volatile than Edelweiss ELSS Gr. 6% 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 6 (%) 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 45.66 in 30 days. As returns on market increase, Edelweiss ELSS returns are expected to increase less than the market. However during bear market, the loss on holding Edelweiss ELSS will be expected to be smaller as well.

Edelweiss ELSS correlation with market

correlation synergy
Weak 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

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