IDBI Liquid (India) Risk Analysis And Volatility Evaluation

F00000PCSI -- India Fund  

INR 1,924  0.38  0.0198%

We consider IDBI Liquid unknown risk. IDBI Liquid Dir retains Efficiency (Sharpe Ratio) of 0.5774 which attests that IDBI Liquid Dir 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 IDBI Liquid which you can use to evaluate future volatility of the entity. Please check out IDBI Liquid Dir Gr Market Risk Adjusted Performance of 3.0 to validate if risk estimate we provide are consistent with the epected return of 0.1586%.
Horizon     30 Days    Login   to change

IDBI Liquid Market Sensitivity

As returns on market increase, IDBI Liquid returns are expected to increase less than the market. However during bear market, the loss on holding IDBI Liquid will be expected to be smaller as well.
One Month Beta |Analyze IDBI Liquid Dir Demand Trend
Check current 30 days IDBI Liquid correlation with market (DOW)
β = 0.0962
IDBI Liquid Small BetaIDBI Liquid Dir Beta Legend

IDBI Liquid Dir Technical Analysis

Transformation
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IDBI Liquid Projected Return Density Against Market

Assuming 30 trading days horizon, IDBI Liquid has beta of 0.0962 suggesting as returns on market go up, IDBI Liquid average returns are expected to increase less than the benchmark. However during bear market, the loss on holding IDBI Liquid Dir Gr will be expected to be much smaller as well. Moreover, IDBI Liquid Dir Gr has an alpha of 0.2792 implying that it can potentially generate 0.2792% 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 IDBI Liquid is 173.21. The daily returns are destributed with a variance of 0.08 and standard deviation of 0.27. The mean deviation of IDBI Liquid Dir Gr is currently at 0.21. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.28
β
Beta against DOW=0.1
σ
Overall volatility
=0.27
Ir
Information ratio =0.17

IDBI Liquid Return Volatility

IDBI Liquid Dir Gr accepts 0.2747% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IDBI Liquid Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

IDBI Liquid Investment Opportunity

DOW has a standard deviation of returns of 0.39 and is 1.44 times more volatile than IDBI Liquid Dir Gr. 2% of all equities and portfolios are less risky than IDBI Liquid. Compared to the overall equity markets, volatility of historical daily returns of IDBI Liquid Dir Gr is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use IDBI Liquid Dir Gr to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of IDBI Liquid to be traded at 2020.07 in 30 days. As returns on market increase, IDBI Liquid returns are expected to increase less than the market. However during bear market, the loss on holding IDBI Liquid will be expected to be smaller as well.

IDBI Liquid correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding IDBI Liquid Dir Gr and equity matching DJI index in the same portfolio.

IDBI Liquid Volatility Indicators

IDBI Liquid Dir Gr Current Risk Indicators

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