ICICI Pru (India) Risk Analysis And Volatility Evaluation

F00000OE76 -- India Fund  

 26.32  1.32  4.78%

ICICI Pru is unknown risk given 1 month investment horizon. ICICI Pru US holds Efficiency (Sharpe) Ratio of 0.5774 which attests that ICICI Pru US had 0.5774% of return per unit of risk over the last 1 month. Our approach towards determining risk of a fund is to use both market data as well as company specific technical data. We found twenty different technical indicators which can help you to evaluate if expected returns of 1.6717% are justified by taking the suggested risk. Use ICICI Pru US Bluechip Equity Div Coefficient Of Variation of 325.58 and Downside Deviation of 0.311 to evaluate company specific risk that cannot be diversified away.
Horizon     30 Days    Login   to change

ICICI Pru Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, ICICI Pru will likely underperform.
One Month Beta |Analyze ICICI Pru US Demand Trend
Check current 30 days ICICI Pru correlation with market (DOW)
β = 3.0117
ICICI Pru Large BetaICICI Pru US Beta Legend

ICICI Pru US Technical Analysis

Transformation
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ICICI Pru Projected Return Density Against Market

Assuming 30 trading days horizon, the fund has beta coefficient of 3.0117 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, ICICI Pru will likely underperform. Moreover, ICICI Pru US Bluechip Equity Div has an alpha of 0.8171 implying that it can potentially generate 0.8171% 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 173.21. The daily returns are destributed with a variance of 8.38 and standard deviation of 2.9. The mean deviation of ICICI Pru US Bluechip Equity Div is currently at 2.23. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.82
β
Beta against DOW=3.01
σ
Overall volatility
=2.90
Ir
Information ratio =0.27

ICICI Pru Return Volatility

ICICI Pru US Bluechip Equity Div accepts 2.8955% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

ICICI Pru Investment Opportunity

ICICI Pru US Bluechip Equity Div has a volatility of 2.9 and is 6.59 times more volatile than DOW. 26% 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 26 (%) of all global equities and portfolios over the last 30 days. Use ICICI Pru US Bluechip Equity Div to protect against small markets fluctuations. The fund experiences very speculative upward sentiment.. Check odds of ICICI Pru to be traded at 25.0 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, ICICI Pru will likely underperform.

ICICI Pru correlation with market

Weak 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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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