BNP Paribas (India) Risk Analysis And Volatility Evaluation

F00000NS2I -- India Fund  

INR 10.11  0.02  0.20%

Macroaxis considers BNP Paribas to be unknown risk. BNP Paribas ST secures Sharpe Ratio (or Efficiency) of -0.7832 which signifies that BNP Paribas ST had -0.7832% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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. BNP Paribas ST Income Qt Div exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BNP Paribas ST Mean Deviation of 0.1788 and Risk Adjusted Performance of 0.0278 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

BNP Paribas Market Sensitivity

As returns on market increase, returns on owning BNP Paribas are expected to decrease at a much smaller rate. During bear market, BNP Paribas is likely to outperform the market.
One Month Beta |Analyze BNP Paribas ST Demand Trend
Check current 30 days BNP Paribas correlation with market (DOW)
β = -0.0101
BNP Paribas Almost negative betaBNP Paribas ST Beta Legend

BNP Paribas ST Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

BNP Paribas Projected Return Density Against Market

Assuming 30 trading days horizon, BNP Paribas ST Income Qt Div has beta of -0.0101 suggesting as returns on benchmark increase, returns on holding BNP Paribas are expected to decrease at a much smaller rate. During bear market, however, BNP Paribas ST Income Qt Div is likely to outperform the market. Moreover, BNP Paribas ST Income Qt Div has an alpha of 0.0155 implying that it can potentially generate 0.0155% 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 BNP Paribas is -127.69. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.09. The mean deviation of BNP Paribas ST Income Qt Div is currently at 0.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0155
β
Beta against DOW=0.01
σ
Overall volatility
=0.09
Ir
Information ratio =0.36

BNP Paribas Return Volatility

BNP Paribas ST Income Qt Div accepts 0.0945% volatility on return distribution over the 30 days horizon. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BNP Paribas Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

BNP Paribas Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 5.0 times more volatile than BNP Paribas ST Income Qt Div. 0% of all equities and portfolios are less risky than BNP Paribas. Compared to the overall equity markets, volatility of historical daily returns of BNP Paribas ST Income Qt Div is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use BNP Paribas ST Income Qt Div to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of BNP Paribas to be traded at 10.01 in 30 days. As returns on market increase, returns on owning BNP Paribas are expected to decrease at a much smaller rate. During bear market, BNP Paribas is likely to outperform the market.

BNP Paribas correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding BNP Paribas ST Income Qt Div and equity matching DJI index in the same portfolio.

BNP Paribas Volatility Indicators

BNP Paribas ST Income Qt Div Current Risk Indicators

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