ICICI Pru (India) Risk Analysis And Volatility

F00000OE76 -- India Fund  

INR 26.50  0.00  0.00%

Macroaxis considers ICICI Pru unknown risk given 2 months investment horizon. ICICI Pru US holds Efficiency (Sharpe) Ratio of 0.166 which attests that the fund had 0.166% of return per unit of risk over the last 2 months. Our approach towards determining 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 ICICI Pru US which you can use to evaluate future volatility of the entity. Please utilize ICICI Pru Downside Deviation of 4.75 and Semi Deviation of 3.62 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

ICICI Pru Market Sensitivity

As returns on market increase, returns on owning ICICI Pru are expected to decrease at a much smaller rate. During bear market, ICICI Pru is likely to outperform the market.
2 Months Beta |Analyze ICICI Pru US Demand Trend
Check current 30 days ICICI Pru correlation with market (DOW)
β = -0.1236

ICICI Pru Central Daily Price Deviation

ICICI Pru US 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.

ICICI Pru Projected Return Density Against Market

Assuming 30 trading days horizon, ICICI Pru US Bluechip Equity Div has beta of -0.1236 suggesting as returns on benchmark increase, returns on holding ICICI Pru are expected to decrease at a much smaller rate. During bear market, however, ICICI Pru US Bluechip Equity Div is likely to outperform the market. Moreover, The company has an alpha of 0.5934 implying that it can potentially generate 0.5934% 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 ICICI Pru is 602.32. The daily returns are destributed with a variance of 7.6 and standard deviation of 2.76. The mean deviation of ICICI Pru US Bluechip Equity Div is currently at 1.39. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.59
β
Beta against DOW=0.12
σ
Overall volatility
=2.76
Ir
Information ratio =0.11

ICICI Pru Return Volatility

the fund accepts 2.7563% volatility on return distribution over the 30 days horizon. the entity inherits 1.9131% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ICICI Pru Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

ICICI Pru Investment Opportunity

ICICI Pru US Bluechip Equity Div has a volatility of 2.76 and is 1.45 times more volatile than DOW. 25% of all equities and portfolios are less risky than ICICI Pru. Compared to the overall equity markets, volatility of historical daily returns of ICICI Pru US Bluechip Equity Div is lower than 25 (%) of all global equities and portfolios over the last 30 days. Use ICICI Pru US Bluechip Equity Div to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of ICICI Pru to be traded at 26.24 in 30 days. . As returns on market increase, returns on owning ICICI Pru are expected to decrease at a much smaller rate. During bear market, ICICI Pru is likely to outperform the market.

ICICI Pru correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ICICI Pru US Bluechip Equity D and equity matching DJI index in the same portfolio.

ICICI Pru Volatility Indicators

ICICI Pru US Bluechip Equity Div Current Risk Indicators

Additionally see Investing Opportunities. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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