IDFC Gov (India) Risk Analysis And Volatility Evaluation

F00000P9ED -- India Fund  

INR 10.82  0.06  0.56%

We consider IDFC Gov unknown risk. IDFC Gov Sec holds Efficiency (Sharpe) Ratio of 0.5774 which attests that IDFC Gov Sec had 0.5774% of return per unit of return volatility over the last 1 month. Our approach into 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 IDFC Gov Sec which you can use to evaluate future volatility of the entity. Please check out IDFC Gov Semi Deviation of 0.4402, Market Risk Adjusted Performance of 0.0241 and Risk Adjusted Performance of 0.007 to validate if risk estimate we provide are consistent with the epected return of 0.1859%.
Horizon     30 Days    Login   to change

IDFC Gov Market Sensitivity

As returns on market increase, returns on owning IDFC Gov are expected to decrease at a much smaller rate. During bear market, IDFC Gov is likely to outperform the market.
One Month Beta |Analyze IDFC Gov Sec Demand Trend
Check current 30 days IDFC Gov correlation with market (DOW)
β = -0.2202
IDFC Gov Almost negative betaIDFC Gov Sec Beta Legend

IDFC Gov Sec Technical Analysis

Transformation
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IDFC Gov Projected Return Density Against Market

Assuming 30 trading days horizon, IDFC Gov Sec Inv Reg Ann Div has beta of -0.2202 suggesting as returns on benchmark increase, returns on holding IDFC Gov are expected to decrease at a much smaller rate. During bear market, however, IDFC Gov Sec Inv Reg Ann Div is likely to outperform the market. Moreover, IDFC Gov Sec Inv Reg Ann Div has an alpha of 0.0297 implying that it can potentially generate 0.0297% 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 IDFC Gov is 173.21. The daily returns are destributed with a variance of 0.1 and standard deviation of 0.32. The mean deviation of IDFC Gov Sec Inv Reg Ann Div is currently at 0.25. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0297
β
Beta against DOW=0.22
σ
Overall volatility
=0.32
Ir
Information ratio =0.31

IDFC Gov Return Volatility

IDFC Gov Sec Inv Reg Ann Div accepts 0.3219% volatility on return distribution over the 30 days horizon. DOW inherits 0.4303% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IDFC Gov Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

IDFC Gov Investment Opportunity

DOW has a standard deviation of returns of 0.43 and is 1.34 times more volatile than IDFC Gov Sec Inv Reg Ann Div. 2% of all equities and portfolios are less risky than IDFC Gov. Compared to the overall equity markets, volatility of historical daily returns of IDFC Gov Sec Inv Reg Ann Div is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use IDFC Gov Sec Inv Reg Ann Div to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of IDFC Gov to be traded at 11.9 in 30 days. As returns on market increase, returns on owning IDFC Gov are expected to decrease at a much smaller rate. During bear market, IDFC Gov is likely to outperform the market.

IDFC Gov correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding IDFC Gov Sec Inv Reg Ann Div and equity matching DJI index in the same portfolio.

IDFC Gov Volatility Indicators

IDFC Gov Sec Inv Reg Ann Div Current Risk Indicators

Additionally see Investing Opportunities. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
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