SBI Life (India) Risk Analysis And Volatility Evaluation

F00000H6BI -- India Fund  

INR 44.68  0.86  1.96%

Macroaxis considers SBI Life to be unknown risk. SBI Life Growth owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5774 which indicates SBI Life Growth had -0.5774% of return per unit of volatility over the last 1 month. Macroaxis way of measuring 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. SBI Life Growth exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SBI Life Risk Adjusted Performance of 0.0478, Market Risk Adjusted Performance of 0.91 and Downside Deviation of 0.5737 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

SBI Life Market Sensitivity

As returns on market increase, returns on owning SBI Life are expected to decrease at a much smaller rate. During bear market, SBI Life is likely to outperform the market.
One Month Beta |Analyze SBI Life Growth Demand Trend
Check current 30 days SBI Life correlation with market (DOW)
β = -0.0616
SBI Life Almost negative betaSBI Life Growth Beta Legend

SBI Life Growth Technical Analysis

Transformation
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SBI Life Projected Return Density Against Market

Assuming 30 trading days horizon, SBI Life Growth has beta of -0.0616 suggesting as returns on benchmark increase, returns on holding SBI Life are expected to decrease at a much smaller rate. During bear market, however, SBI Life Growth is likely to outperform the market. Moreover, SBI Life Growth has an alpha of 0.0625 implying that it can potentially generate 0.0625% 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 SBI Life is -173.21. The daily returns are destributed with a variance of 1.23 and standard deviation of 1.11. The mean deviation of SBI Life Growth is currently at 0.86. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.06
β
Beta against DOW=0.06
σ
Overall volatility
=1.11
Ir
Information ratio =0.06

SBI Life Return Volatility

SBI Life Growth accepts 1.1113% volatility on return distribution over the 30 days horizon. DOW inherits 0.3914% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SBI Life Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

SBI Life Investment Opportunity

SBI Life Growth has a volatility of 1.11 and is 2.85 times more volatile than DOW. 10% of all equities and portfolios are less risky than SBI Life. Compared to the overall equity markets, volatility of historical daily returns of SBI Life Growth is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use SBI Life Growth to enhance returns of your portfolios. The fund experiences large bullish trend. Check odds of SBI Life to be traded at 49.15 in 30 days. As returns on market increase, returns on owning SBI Life are expected to decrease at a much smaller rate. During bear market, SBI Life is likely to outperform the market.

SBI Life correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding SBI Life Growth and equity matching DJI index in the same portfolio.

SBI Life Volatility Indicators

SBI Life Growth Current Risk Indicators

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