Kotak OM (India) Risk Analysis And Volatility Evaluation

F00000H4Q4 -- India Fund  

INR 18.25  0.06  0.33%

Macroaxis considers Kotak OM to be unknown risk. Kotak OM Life has Sharpe Ratio of -0.5 which conveys that Kotak OM Life had -0.5% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Kotak OM exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Kotak OM Life Peak Guarantee I Mean Deviation of 0.1595 and Risk Adjusted Performance of 0.0489 to check out risk estimate we provide.
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 = 0.1775
Kotak OM Small BetaKotak OM Life Beta Legend

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 0.1775 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 Peak Guarantee I will be expected to be much smaller as well. Moreover, Kotak OM Life Peak Guarantee I has an alpha of 0.0108 implying that it can potentially generate 0.0108% 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 -200.0. The daily returns are destributed with a variance of 0.04 and standard deviation of 0.19. The mean deviation of Kotak OM Life Peak Guarantee I is currently at 0.14. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.0108
β
Beta against DOW=0.18
σ
Overall volatility
=0.19
Ir
Information ratio =0.24

Kotak OM Return Volatility

Kotak OM Life Peak Guarantee I accepts 0.1911% volatility on return distribution over the 30 days horizon. DOW inherits 0.4208% 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

Unaffected

Investment Outlook

Kotak OM Investment Opportunity

DOW has a standard deviation of returns of 0.42 and is 2.21 times more volatile than Kotak OM Life Peak Guarantee I. 1% 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 Peak Guarantee I is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Kotak OM Life Peak Guarantee I to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Kotak OM to be traded at 18.07 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

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Kotak OM Life Peak Guarantee I and equity matching DJI index in the same portfolio.

Kotak OM Volatility Indicators

Kotak OM Life Peak Guarantee I Current Risk Indicators

Additionally see Investing Opportunities. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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