Kotak OM (India) Risk Analysis And Volatility Evaluation

Macroaxis considers Kotak OM unknown risk given 1 month investment horizon. Kotak OM Life has Sharpe Ratio of 0.7071 which conveys that Kotak OM Life had 0.7071% of return per unit of risk over the last 1 month. Our philosophy towards estimating 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-one technical indicators for Kotak OM which you can use to evaluate future volatility of the organization. Please exercise Kotak OM Life Pension Floating Rate Mean Deviation of 0.2492 and Risk Adjusted Performance of 0.2969 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Kotak OM Market Sensitivity

As returns on market increase, Kotak OM returns are expected to increase less than the market. However during bear market, the loss on holding Kotak OM will be expected to be smaller as well.
One Month Beta |Analyze Kotak OM Life Demand Trend
Check current 30 days Kotak OM correlation with market (DOW)
β = 0.0279

Kotak OM Central Daily Price Deviation

Kotak OM Life Technical Analysis

Transformation
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Kotak OM Projected Return Density Against Market

Assuming 30 trading days horizon, Kotak OM has beta of 0.0279 suggesting as returns on market go up, Kotak OM average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Kotak OM Life Pension Floating Rate will be expected to be much smaller as well. Moreover, Kotak OM Life Pension Floating Rate has an alpha of 0.1076 implying that it can potentially generate 0.1076% 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 Kotak OM is 141.42. The daily returns are destributed with a variance of 0.34 and standard deviation of 0.58. The mean deviation of Kotak OM Life Pension Floating Rate is currently at 0.41. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.11
β
Beta against DOW=0.0279
σ
Overall volatility
=0.58
Ir
Information ratio =0.41

Kotak OM Return Volatility

Kotak OM Life Pension Floating Rate accepts 0.5835% 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

Kotak OM Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Kotak OM Investment Opportunity

DOW has a standard deviation of returns of 1.32 and is 2.28 times more volatile than Kotak OM Life Pension Floating Rate. 5% of all equities and portfolios are less risky than Kotak OM. Compared to the overall equity markets, volatility of historical daily returns of Kotak OM Life Pension Floating Rate is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use Kotak OM Life Pension Floating Rate to protect against small markets fluctuations. The fund experiences very speculative upward sentiment.. Check odds of Kotak OM to be traded at 0.0 in 30 days. As returns on market increase, Kotak OM returns are expected to increase less than the market. However during bear market, the loss on holding Kotak OM will be expected to be smaller as well.

Kotak OM correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Kotak OM Life Pension Floating and equity matching DJI index in the same portfolio.

Kotak OM Volatility Indicators

Kotak OM Life Pension Floating Rate Current Risk Indicators

Additionally see Investing Opportunities. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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